analytic Heston-model engine based on More...
#include <ql/pricingengines/vanilla/exponentialfittinghestonengine.hpp>
Inheritance diagram for ExponentialFittingHestonEngine:Public Types | |
| enum | ControlVariate { AndersenPiterbarg, AndersenPiterbargOptCV, AsymptoticChF, OptimalCV } |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Public Member Functions | |
| ExponentialFittingHestonEngine (const ext::shared_ptr< HestonModel > &model, ControlVariate cv=OptimalCV, Real scaling=Null< Real >()) | |
| void | calculate () const |
Public Member Functions inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
| GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
| GenericModelEngine (const ext::shared_ptr< HestonModel > &model) | |
Public Member Functions inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
Protected Attributes inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
| Handle< HestonModel > | model_ |
Protected Attributes inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| VanillaOption::arguments | arguments_ |
| VanillaOption::results | results_ |
analytic Heston-model engine based on
References: D. Conte, L. Ixaru, B. Paternoster, G. Santomauro, 2014 Exponentially-fitted Gauss–Laguerre quadrature rule for integrals over an unbounded interval
For adaptation details see https://hpcquantlib.wordpress.com/2020/05/17/optimized-heston-model-integration-exponentially-fitted-gauss-laguerre-quadrature-rule/