QuantLib_AnalyticPDFHestonEngine man page

AnalyticPDFHestonEngine — Analytic engine for arbitrary European payoffs under the Heston model.

Synopsis

#include <ql/experimental/exoticoptions/analyticpdfhestonengine.hpp>

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

Public Member Functions

AnalyticPDFHestonEngine (const boost::shared_ptr< HestonModel > &model, Real gaussLobattoEps=1e-6, Size gaussLobattoIntegrationOrder=10000ul)

void calculate () const

Real Pv (Real x_t, Time t) const

Real cdf (Real X, Time t) const

Additional Inherited Members

Detailed Description

Analytic engine for arbitrary European payoffs under the Heston model.

References:

The formulas are taken from A. Dragulescu, V. Yakovenko, 2002. Probability distribution of returns in the Heston model with stochastic volatility. http://arxiv.org/pdf/cond-mat/0203046.p…

Tests

the correctness of the returned value is tested by reproducing digital prices using call spreads and the AnalyticHestonEngine.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticPDFHestonEngine(3), cdf(3) and Pv(3) are aliases of QuantLib_AnalyticPDFHestonEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib