QuantLib_AnalyticHestonHullWhiteEngine man page

AnalyticHestonHullWhiteEngine — Analytic Heston engine incl. stochastic interest rates.

Synopsis

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

Inherits AnalyticHestonEngine.

Inherited by AnalyticH1HWEngine.

Public Member Functions

AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &hestonModel, const boost::shared_ptr< HullWhite > &hullWhiteModel, Size integrationOrder=144)

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

void update ()

void calculate () const

Protected Member Functions

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

Protected Attributes

const boost::shared_ptr< HullWhite > hullWhiteModel_

Additional Inherited Members

Detailed Description

Analytic Heston engine incl. stochastic interest rates.

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 dt \ dW_1 dW_3 &=& 0 \ dW_2 dW_3 &=& 0 \ \nd{array} ].PP References:

Karel in't Hout, Joris Bierkens, Antoine von der Ploeg, Joe in't Panhuis, A Semi closed-from analytic pricing formula for call options in a hybrid Heston-Hull-White Model.

A. Sepp, Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (http://math.ut.ee/~spartak/papers/stoch…)

Tests

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

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.

Implements Observer.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticHestonHullWhiteEngine(3) and hullWhiteModel_(3) are aliases of QuantLib_AnalyticHestonHullWhiteEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib