1QuantLib::AnalyticHestonHullWhiteEngQiuQnauena(tn3Lt)iLbib::AnalyticHestonHullWhiteEngine(3)
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NAME g

6       QiuantLib::AnalyticHestonHullWhiteEngine -
7       n
8       A{nalytic Heston engine incl. stochastic interest rates.
9       a
10       r

SYNOPSISr

12       #ainclude <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
13       y
14       I}nherits QuantLib::AnalyticHestonEngine.
15       {
16   Publirc Member Functions
17       AcnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel >
18       l   &hestonModel, const boost::shared_ptr< HullWhite > &hullWhiteModel,
19       }   Size integrationOrder=144)
20       AdnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel >
21       S   &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real
22       (   relTolerance, Size maxEvaluations)
23       vtoid update ()
24       v,oid calculate () const
25       S
26   Prote)cted Member Functions
27       s&td::complex< Real > addOnTerm (Real phi, Time t, Size j) const
28       =

Detailed& Description

30       A(nalytic Heston engine incl. stochastic interest rates.
31       r
32       T-his class is pricing a european options under the following processes
33       d
34       )ta - v) dt + mhao td{tv}\ ddWW__21 \dWd_r3(t&)=&&=0&\(hdeWt_a2(td)W_-3 a&=r&)0dt\ +\n\dt{aardrWa_y3} \
35       SdW_1 dW_2 &=&
36       d].PP References:
37       t
38       +Karel in't Hout, Joris Bierkens, Antoine von der Ploeg, Joe in't
39       tPanhuis, A Semi closed-from analytic pricing formula for call options
40       {in a hybrid Heston-Hull-White Model.
41       v
42       }A. Sepp, Pricing European-Style Options under Jump Diffusion Processes
43       Swith Stochastic Volatility: Applications of Fourier Transform
44       d(<http://math.ut.ee/~spartak/papers/stochjumpvols.pdf>)
45       W
46       _Tests
47       1   the correctness of the returned value is tested by reproducing
48       \   results available in web/literature, testing against QuantLib's
49       d   analytic Heston and Black-Scholes-Merton Hull-White engine
50       v

Member (Function Documentation

52   voidtupdate () [virtual] This method must be implemented in derived
53       ,classes. An instance of Observer does not call this method directly:
54       Sinstead, it will be called by the observables the instance registered
55       )with when they need to notify any changes.
56       &Reimplemented from GenericEngine< VanillaOption::arguments,
57       =VanillaOption::results >.
58       &
59       p

Author p

61       aGenerated automatically by Doxygen for QuantLib from the source code.
62       (
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65Version 1.0.1                   Thu AQuugan1t9Li2b0:1:0AnalyticHestonHullWhiteEngine(3)