Heston-model engine for European options based on analytic expansions. More...
#include <ql/pricingengines/vanilla/hestonexpansionengine.hpp>
Inheritance diagram for HestonExpansionEngine:Public Types | |
| enum | HestonExpansionFormula { LPP2, LPP3, Forde } |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Public Member Functions | |
| HestonExpansionEngine (const ext::shared_ptr< HestonModel > &model, HestonExpansionFormula formula) | |
| void | calculate () const |
Public Member Functions inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
| GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
| GenericModelEngine (const ext::shared_ptr< HestonModel > &model) | |
Public Member Functions inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
Protected Attributes inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
| Handle< HestonModel > | model_ |
Protected Attributes inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| VanillaOption::arguments | arguments_ |
| VanillaOption::results | results_ |
Heston-model engine for European options based on analytic expansions.
References:
M Forde, A Jacquier, R Lee, The small-time smile and term structure of implied volatility under the Heston model SIAM Journal on Financial Mathematics, 2012 - SIAM
M Lorig, S Pagliarani, A Pascucci, Explicit implied vols for multifactor local-stochastic vol models arXiv preprint arXiv:1306.5447v3, 2014 - arxiv.org