QuantLib_AnalyticPTDHestonEngine man page

AnalyticPTDHestonEngine — analytic piecewise constant time dependent Heston-model engine  

Synopsis

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

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

Public Types

enum ComplexLogFormula { Gatheral, AndersenPiterbarg }
typedef AnalyticHestonEngine::Integration Integration

Public Member Functions

AnalyticPTDHestonEngine (const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Real relTolerance, Size maxEvaluations)
AnalyticPTDHestonEngine (const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Size integrationOrder=144)
AnalyticPTDHestonEngine (const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg, Real andersenPiterbargEpsilon=1e-8)
void calculate () const
Size numberOfEvaluations () const
std::complex< Real > chF (const std::complex< Real > &z, Time t) const
std::complex< Real > lnChF (const std::complex< Real > &z, Time t) const

Additional Inherited Members

Detailed Description

analytic piecewise constant time dependent Heston-model engine

References:

Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.

J. Gatheral, The Volatility Surface: A Practitioner's Guide, Wiley Finance

A. Elices, Models with time-dependent parameters using transform methods: application to Heston’s model, http://arxiv.org/pdf/0708.2020

Author

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Referenced By

The man pages AnalyticPTDHestonEngine(3) and Integration(3) are aliases of QuantLib_AnalyticPTDHestonEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib