QuantLib_HestonSLVMCModel man page

HestonSLVMCModel

Synopsis

#include <ql/experimental/models/hestonslvmcmodel.hpp>

Inherits LazyObject.

Public Member Functions

HestonSLVMCModel (const Handle< LocalVolTermStructure > &localVol, const Handle< HestonModel > &hestonModel, const boost::shared_ptr< BrownianGeneratorFactory > &brownianGeneratorFactory, const Date &endDate, Size timeStepsPerYear=365, Size nBins=201, Size calibrationPaths=(1<< 15), const std::vector< Date > &mandatoryDates=std::vector< Date >())
boost::shared_ptr< HestonProcess > hestonProcess () const
boost::shared_ptr< LocalVolTermStructure > localVol () const
boost::shared_ptr< LocalVolTermStructure > leverageFunction () const

Protected Member Functions

void performCalculations () const

Additional Inherited Members

Detailed Description

References:

Anthonie W. van der Stoep,Lech A. Grzelak, Cornelis W. Oosterlee, 2013, The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2278122

Member Function Documentation

void performCalculations () const [protected], [virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Author

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Referenced By

The man pages hestonProcess(3), HestonSLVMCModel(3), leverageFunction(3) and localVol(3) are aliases of QuantLib_HestonSLVMCModel(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib