COS-method Heston engine based on efficient Fourier series expansions. More...
#include <ql/pricingengines/vanilla/coshestonengine.hpp>
 Inheritance diagram for COSHestonEngine:
 Inheritance diagram for COSHestonEngine:| 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 | 
|  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_ | 
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
| 
 | 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.