FdHestonVanillaEngine Class Reference

Finite-Differences Heston Vanilla Option engine. More...

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

Inheritance diagram for FdHestonVanillaEngine:

Public Member Functions
	FdHestonVanillaEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
void	calculate () const
void	update ()
void	enableMultipleStrikesCaching (const std::vector< Real > &strikes)
FdmSolverDesc	getSolverDesc (Real equityScaleFactor) const
Public Member Functions inherited from GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >
	GenericModelEngine (const boost::shared_ptr< HestonModel > &model)
Public Member Functions inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::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 > &)
Size	unregisterWith (const boost::shared_ptr< Observable > &)
void	unregisterWithAll ()

Additional Inherited Members
Public Attributes inherited from GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >
	__pad0__
Protected Attributes inherited from GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >
Handle< HestonModel >	model_
Protected Attributes inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >
DividendVanillaOption::arguments	arguments_
DividendVanillaOption::results	results_

Detailed Description

Finite-Differences Heston Vanilla Option engine.

Tests:

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