COS-method Heston engine based on efficient Fourier series expansions. More...
#include <ql/pricingengines/vanilla/coshestonengine.hpp>
Inheritance diagram for COSHestonEngine:Public Member Functions | |
| COSHestonEngine (const ext::shared_ptr< HestonModel > &model, Real L=16, Size N=200) | |
| void | update () |
| void | calculate () const |
| std::complex< Real > | chF (Real u, Real t) const |
| Real | c1 (Time t) const |
| Real | c2 (Time t) const |
| Real | c3 (Time t) const |
| Real | c4 (Time t) const |
| Real | mu (Time t) const |
| Real | var (Time t) const |
| Real | skew (Time t) const |
| Real | kurtosis (Time t) 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 | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
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_ |
COS-method Heston engine based on efficient Fourier series expansions.
References:
F. Fang, C.W. Oosterlee: A Novel Pricing Method for European Ooptions based on Fourier-Cosine Series Expansions, http://ta.twi.tudelft.nl/mf/users/oosterle/oosterlee/COS.pdf
Fabien Le Floc'h: Fourier Integration and Stochastic Volatility Calibration, https://papers.ssrn.com/sol3/papers2.cfm?abstract_id=2362968
|
virtual |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.