AnalyticHestonHullWhiteEngine Class Reference
Pricing engines » Vanilla option engines

Analytic Heston engine incl. stochastic interest rates. More...

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

Inheritance diagram for AnalyticHestonHullWhiteEngine:
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## 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
Public Member Functions inherited from AnalyticHestonEngine
| AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations)
| AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Size integrationOrder=144)
| AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg)
Size | numberOfEvaluations () const
Public Member Functions inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >
| GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >())
| GenericModelEngine (const boost::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 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< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
Size | unregisterWith (const boost::shared_ptr< Observable > &)
void | unregisterWithAll ()

## Protected Member Functions

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

## Protected Attributes

const boost::shared_ptr< HullWhite > | hullWhiteModel_
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_

## Additional Inherited Members

Public Types inherited from AnalyticHestonEngine
enum | ComplexLogFormula { Gatheral, BranchCorrection }
Static Public Member Functions inherited from AnalyticHestonEngine
static void | doCalculation (Real riskFreeDiscount, Real dividendDiscount, Real spotPrice, Real strikePrice, Real term, Real kappa, Real theta, Real sigma, Real v0, Real rho, const TypePayoff &type, const Integration &integration, const ComplexLogFormula cpxLog, const AnalyticHestonEngine *const enginePtr, Real &value, Size &evaluations)

## Detailed Description

Analytic Heston engine incl. stochastic interest rates.

This class is pricing a european option under the following process

\[ \begin{array}{rcl} dS(t, S) &=& (r-d) S dt +\sqrt{v} S dW_1 \\ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\ dr(t) &=& (\theta(t) - a r) dt + \eta dW_3 \\ dW_1 dW_2 &=& \rho dt \\ dW_1 dW_3 &=& 0 \\ dW_2 dW_3 &=& 0 \\ \end{array} \]

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.

Implements Observer.