sourCEntral - mobile manpages

pdf

FdHestonHullWhiteVanillaEngine

NAME

FdHestonHullWhiteVanillaEngine − Finite-Differences Heston Hull-White Vanilla Option engine.

SYNOPSIS

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

Inherits GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >.

Public Member Functions

FdHestonHullWhiteVanillaEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhiteProcess > &hwProcess, Real corrEquityShortRate, Size tGrid=50, Size xGrid=100, Size vGrid=40, Size rGrid=20, Size dampingSteps=0, bool controlVariate=true, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
void calculate () const
void update ()
void enableMultipleStrikesCaching (const std::vector< Real > &strikes)

Additional Inherited Members

Detailed Description

Finite-Differences Heston Hull-White Vanilla Option engine.

Tests

the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black/Heston pricing.

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.

Implements Observer.

Author

Generated automatically by Doxygen for QuantLib from the source code.

pdf