Analytic engine for arbitrary European payoffs under the Heston model. More...
#include <ql/experimental/exoticoptions/analyticpdfhestonengine.hpp>
Public Member Functions | |
AnalyticPDFHestonEngine (const boost::shared_ptr< HestonModel > &model, Real gaussLobattoEps=1e-6, Size gaussLobattoIntegrationOrder=10000ul) | |
void | calculate () const |
Real | Pv (Real x_t, Time t) const |
Real | cdf (Real X, Time t) const |
![]() | |
GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
GenericModelEngine (const boost::shared_ptr< HestonModel > &model) | |
![]() | |
PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
![]() | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Additional Inherited Members | |
![]() | |
typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
![]() | |
Handle< HestonModel > | model_ |
![]() | |
VanillaOption::arguments | arguments_ |
VanillaOption::results | results_ |
Analytic engine for arbitrary European payoffs under the Heston model.
References:
The formulas are taken from A. Dragulescu, V. Yakovenko, 2002. Probability distribution of returns in the Heston model with stochastic volatility. http://arxiv.org/pdf/cond-mat/0203046.pdf