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

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