QuantLib_AnalyticPTDHestonEngine man page

AnalyticPTDHestonEngine — analytic piecewise constant time dependent Heston-model engine


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

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

Public Member Functions

AnalyticPTDHestonEngine (const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Real relTolerance, Size maxEvaluations)

AnalyticPTDHestonEngine (const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Size integrationOrder=144)

void calculate () const

Additional Inherited Members

Detailed Description

analytic piecewise constant time dependent Heston-model engine


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


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Referenced By

AnalyticPTDHestonEngine(3) is an alias of QuantLib_AnalyticPTDHestonEngine(3).

QuantLib Version 1.8.1 Fri Sep 23 2016