QuantLib_AnalyticH1HWEngine man page

AnalyticH1HWEngine — Analytic Heston-Hull-White engine based on the H1-HW approximation.

Synopsis

#include <ql/pricingengines/vanilla/analytich1hwengine.hpp>

Inherits AnalyticHestonHullWhiteEngine.

Public Member Functions

AnalyticH1HWEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real rhoXV, Size integrationOrder=144)

AnalyticH1HWEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real rhoSr, Real relTolerance, Size maxEvaluations)

Protected Member Functions

std::complex< Real > addOnTerm (Real phi, Time t, Size j) const

Additional Inherited Members

Detailed Description

Analytic Heston-Hull-White engine based on the H1-HW approximation.

This class is pricing a european option under the following process

[ begin{array}{rcl} dS(t, S) &=& (r-d) S dt +sqrt{v} S dW_1 \ dv(t, S) &=& ppa ( heta - v) dt + sigma sqrt{v} dW_2 \ dr(t) &=& ( heta(t) - a r) dt + \ta dW_3 \ dW_1 dW_2 &=& rho_{S,v} dt, rho_{S,r} >= 0 \ dW_1 dW_3 &=& rho_{S.r} dt \ dW_2 dW_3 &=& 0 dt \ \nd{array} ].PP References:

Lech A. Grzelak, Cornelis W. Oosterlee, On The Heston Model with Stochastic, http://papers.ssrn.com/sol3/papers.cfm?…

Lech A. Grzelak, Equity and Foreign Exchange Hybrid Models for Pricing Long-Maturity Financial Derivatives, http://repository.tudelft.nl/assets/uui…

Tests

the correctness of the returned value is tested by reproducing results available in web/literature, testing against QuantLib's analytic Heston, the Black-Scholes-Merton Hull-White engine and the finite difference Heston-Hull-White engine

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

addOnTerm(3) and AnalyticH1HWEngine(3) are aliases of QuantLib_AnalyticH1HWEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib