COS-method Heston engine based on efficient Fourier series expansions. More...
#include <ql/pricingengines/vanilla/coshestonengine.hpp>
Public Member Functions | |
COSHestonEngine (const boost::shared_ptr< HestonModel > &model, Real L=16, Size N=200) | |
void | update () |
void | calculate () const |
std::complex< Real > | chF (Real u, Real t) const |
Real | c1 (Time t) const |
Real | c2 (Time t) const |
Real | c3 (Time t) const |
Real | c4 (Time t) const |
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GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
GenericModelEngine (const boost::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 boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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Handle< HestonModel > | model_ |
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VanillaOption::arguments | arguments_ |
VanillaOption::results | results_ |
COS-method Heston engine based on efficient Fourier series expansions.
References:
F. Fang, C.W. Oosterlee: A Novel Pricing Method for European Ooptions based on Fourier-Cosine Series Expansions, http://ta.twi.tudelft.nl/mf/users/oosterle/oosterlee/COS.pdf
Fabien Le Floc'h: Fourier Integration and Stochastic Volatility Calibration, https://papers.ssrn.com/sol3/papers2.cfm?abstract_id=2362968
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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.