Finite-Differences Heston Hull-White Vanilla Option engine. More...
#include <ql/pricingengines/vanilla/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, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer()) | |
| void | calculate () const |
| void | update () |
| void | enableMultipleStrikesCaching (const std::vector< Real > &strikes) |
Public Member Functions inherited from GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results > | |
| GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
| 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< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
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_ |
Finite-Differences Heston Hull-White Vanilla Option engine.
|
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.