#include <ql/experimental/models/hestonslvmcmodel.hpp>
 Inheritance diagram for HestonSLVMCModel:
 Inheritance diagram for HestonSLVMCModel:| Public Member Functions | |
| HestonSLVMCModel (const Handle< LocalVolTermStructure > &localVol, const Handle< HestonModel > &hestonModel, const boost::shared_ptr< BrownianGeneratorFactory > &brownianGeneratorFactory, const Date &endDate, Size timeStepsPerYear=365, Size nBins=201, Size calibrationPaths=(1<< 15), const std::vector< Date > &mandatoryDates=std::vector< Date >()) | |
| boost::shared_ptr< HestonProcess > | hestonProcess () const | 
| boost::shared_ptr< LocalVolTermStructure > | localVol () const | 
| boost::shared_ptr< LocalVolTermStructure > | leverageFunction () const | 
|  Public Member Functions inherited from LazyObject | |
| void | update () | 
| void | recalculate () | 
| void | freeze () | 
| void | unfreeze () | 
| void | alwaysForwardNotifications () | 
|  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 () | 
| Protected Member Functions | |
| void | performCalculations () const | 
|  Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const | 
| 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 LazyObject | |
| bool | calculated_ | 
| bool | frozen_ | 
| bool | alwaysForward_ | 
References:
Anthonie W. van der Stoep,Lech A. Grzelak, Cornelis W. Oosterlee, 2013, The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2278122
| 
 | protectedvirtual | 
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.