/usr/include/ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp is in libquantlib0-dev 1.12-1.
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/*
Copyright (C) 2007 Klaus Spanderen
Copyright (C) 2007 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file analytichestonhullwhiteengine.hpp
\brief analytic heston engine incl. stochastic interest rates
*/
#ifndef quantlib_analytic_heston_hull_white_engine_hpp
#define quantlib_analytic_heston_hull_white_engine_hpp
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
namespace QuantLib {
//! Analytic Heston engine incl. stochastic interest rates
/*! This class is pricing a european option under the following process
\f[
\begin{array}{rcl}
dS(t, S) &=& (r-d) S dt +\sqrt{v} S dW_1 \\
dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\
dr(t) &=& (\theta(t) - a r) dt + \eta dW_3 \\
dW_1 dW_2 &=& \rho dt \\
dW_1 dW_3 &=& 0 \\
dW_2 dW_3 &=& 0 \\
\end{array}
\f]
References:
Karel in't Hout, Joris Bierkens, Antoine von der Ploeg,
Joe in't Panhuis, A Semi closed-from analytic pricing formula for
call options in a hybrid Heston-Hull-White Model.
A. Sepp, Pricing European-Style Options under Jump Diffusion
Processes with Stochastic Volatility: Applications of Fourier
Transform (<http://math.ut.ee/~spartak/papers/stochjumpvols.pdf>)
\ingroup vanillaengines
\test the correctness of the returned value is tested by
reproducing results available in web/literature, testing
against QuantLib's analytic Heston and
Black-Scholes-Merton Hull-White engine
*/
class AnalyticHestonHullWhiteEngine : public AnalyticHestonEngine {
public:
// see AnalticHestonEninge for usage of different constructors
AnalyticHestonHullWhiteEngine(
const boost::shared_ptr<HestonModel>& hestonModel,
const boost::shared_ptr<HullWhite>& hullWhiteModel,
Size integrationOrder = 144);
AnalyticHestonHullWhiteEngine(
const boost::shared_ptr<HestonModel>& model,
const boost::shared_ptr<HullWhite>& hullWhiteModel,
Real relTolerance, Size maxEvaluations);
void update();
void calculate() const;
protected:
std::complex<Real> addOnTerm(Real phi, Time t, Size j) const;
const boost::shared_ptr<HullWhite> hullWhiteModel_;
private:
mutable Real m_;
mutable Real a_, sigma_;
};
inline
std::complex<Real> AnalyticHestonHullWhiteEngine::addOnTerm(Real u,
Time,
Size j) const {
return std::complex<Real>(-m_*u*u, u*(m_-2*m_*(j-1)));
}
}
#endif
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