AnalyticHestonHullWhiteEngine (3) - Linux Manuals

AnalyticHestonHullWhiteEngine: Analytic Heston engine incl. stochastic interest rates.

NAME

QuantLib::AnalyticHestonHullWhiteEngine - Analytic Heston engine incl. stochastic interest rates.

SYNOPSIS

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

Inherits QuantLib::AnalyticHestonEngine.

Public Member Functions

AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &hestonModel, const boost::shared_ptr< HullWhite > &hullWhiteModel, Size integrationOrder=144)

AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real relTolerance, Size maxEvaluations)

void update ()

void calculate () const

Protected Member Functions

std::complex< Real > addOnTerm (Real phi, Time t, Size j) const

Detailed Description

Analytic Heston engine incl. stochastic interest rates.

This class is pricing a european options under the following processes

[ ta - v) dt + igma qrt{v} dW_2 \ dr(t) &=& ( heta(t) - a r) dt + \ta dW_3 \ dW_1 dW_2 &=& ho dt \ dW_1 dW_3 &=& 0 \ dW_2 dW_3 &=& 0 \ \nd{array} ].PP References:

Karel in't Hout, Joris Bierkens, Antoine von der Ploeg, Joe in't Panhuis, A Semi closed-from analytic pricing formula for call options in a hybrid Heston-Hull-White Model.

A. Sepp, Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (<http://math.ut.ee/~spartak/papers/stochjumpvols.pdf>)

Tests

the correctness of the returned value is tested by reproducing results available in web/literature, testing against QuantLib's analytic Heston and Black-Scholes-Merton Hull-White engine

Member Function Documentation

void update () [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.

Reimplemented from GenericEngine< VanillaOption::arguments, VanillaOption::results >.

Author

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