FdHestonHullWhiteVanillaEngine Class Reference
[Vanilla option engines]
Finite-Differences Heston Hull-White Vanilla Option engine.
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#include <ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp>
Inheritance diagram for FdHestonHullWhiteVanillaEngine:

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, FdmBackwardSolver::FdmSchemeType type=FdmBackwardSolver::Hundsdorfer, Real theta=0.5+std::sqrt(3.0)/6, Real mu=0.5) | |
void | calculate () const |
void | update () |
void | enableMultipleStrikesCaching (const std::vector< Real > &strikes) |
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.
Reimplemented from GenericEngine.