Finite-Differences Heston Hull-White Vanilla Option engine. More...
#include <ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp>
Public Member Functions | |
FdHestonHullWhiteVanillaEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhiteProcess > &hwProcess, Real corrEquityShortRate, Size tGrid=50, Size xGrid=100, Size vGrid=40, Size rGrid=20, Size dampingSteps=0, bool controlVariate=true, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer()) | |
void | calculate () const |
void | update () |
void | enableMultipleStrikesCaching (const std::vector< Real > &strikes) |
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GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
GenericModelEngine (const boost::shared_ptr< HestonModel > &model) | |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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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 () |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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Handle< HestonModel > | model_ |
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DividendVanillaOption::arguments | arguments_ |
DividendVanillaOption::results | results_ |
Finite-Differences Heston Hull-White Vanilla Option engine.
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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.