analytic Heston-model engine based on More...
#include <ql/pricingengines/vanilla/exponentialfittinghestonengine.hpp>
Public Types | |
enum | ControlVariate { AndersenPiterbarg , AndersenPiterbargOptCV , AsymptoticChF , OptimalCV } |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Public Member Functions | |
ExponentialFittingHestonEngine (const ext::shared_ptr< HestonModel > &model, ControlVariate cv=OptimalCV, Real scaling=Null< Real >()) | |
void | calculate () const |
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GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
GenericModelEngine (const ext::shared_ptr< HestonModel > &model) | |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Additional Inherited Members | |
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Handle< HestonModel > | model_ |
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VanillaOption::arguments | arguments_ |
VanillaOption::results | results_ |
analytic Heston-model engine based on
References: D. Conte, L. Ixaru, B. Paternoster, G. Santomauro, 2014 Exponentially-fitted Gauss–Laguerre quadrature rule for integrals over an unbounded interval
For adaptation details see https://hpcquantlib.wordpress.com/2020/05/17/optimized-heston-model-integration-exponentially-fitted-gauss-laguerre-quadrature-rule/