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QuantLib_FdHestonVanillaEngine

NAME

QuantLib::FdHestonVanillaEngine -

Finite-Differences Heston Vanilla Option engine.

SYNOPSIS

#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp>

Inherits GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >.

Public Member Functions

FdHestonVanillaEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, FdmBackwardSolver::FdmSchemeType type=FdmBackwardSolver::Hundsdorfer, Real theta=0.5+std::sqrt(3.0)/6, Real mu=0.5)

void calculate () const

void update ()

void enableMultipleStrikesCaching (const std::vector< Real > &strikes)

Detailed Description

Finite-Differences Heston Vanilla Option engine.

Tests

the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.

Member Function Documentation

void update () [virtual]This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >.

Author

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