FdHestonVanillaEngine − Finite-Differences Heston Vanilla Option engine.
#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
Inherits GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >.
Public Member Functions
FdHestonVanillaEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), const boost::shared_ptr< LocalVolTermStructure > &leverageFct=boost::shared_ptr< LocalVolTermStructure >())
void calculate () const
void update ()
void enableMultipleStrikesCaching (const std::vector< Real > &strikes)
FdmSolverDesc getSolverDesc (Real equityScaleFactor) const
Additional Inherited Members
Finite-Differences Heston Vanilla Option engine.
Tests
the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.
void update () [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.
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