Analytic engine for arbitrary European payoffs under the Heston model. More...
#include <ql/experimental/exoticoptions/analyticpdfhestonengine.hpp>
 Inheritance diagram for AnalyticPDFHestonEngine:
 Inheritance diagram for AnalyticPDFHestonEngine:| Public Member Functions | |
| AnalyticPDFHestonEngine (const boost::shared_ptr< HestonModel > &model, Real gaussLobattoEps=1e-6, Size gaussLobattoIntegrationOrder=10000ul) | |
| void | calculate () const | 
| Real | Pv (Real x_t, Time t) const | 
| Real | cdf (Real X, Time t) const | 
|  Public Member Functions inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
| GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
| GenericModelEngine (const boost::shared_ptr< HestonModel > &model) | |
|  Public Member Functions inherited from GenericEngine< VanillaOption::arguments, VanillaOption::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 () | 
| virtual void | deepUpdate () | 
| 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, VanillaOption::arguments, VanillaOption::results > | |
| Handle< HestonModel > | model_ | 
|  Protected Attributes inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| VanillaOption::arguments | arguments_ | 
| VanillaOption::results | results_ | 
Analytic engine for arbitrary European payoffs under the Heston model.
References:
The formulas are taken from A. Dragulescu, V. Yakovenko, 2002. Probability distribution of returns in the Heston model with stochastic volatility. http://arxiv.org/pdf/cond-mat/0203046.pdf