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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_analytic_heston_hull_white_engine.html">AnalyticHestonHullWhiteEngine</a></div>
<h1>AnalyticHestonHullWhiteEngine Class Reference<br>
<small>
[<a class="el" href="group__vanillaengines.html">Vanilla option engines</a>]</small>
</h1><!-- doxytag: class="QuantLib::AnalyticHestonHullWhiteEngine" --><!-- doxytag: inherits="QuantLib::AnalyticHestonEngine" --><code>#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp></code>
<p>
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Inheritance diagram for AnalyticHestonHullWhiteEngine:</div>
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<p><center><img src="class_quant_lib_1_1_analytic_heston_hull_white_engine__inherit__graph.png" border="0" usemap="#_analytic_heston_hull_white_engine__inherit__map" alt="Inheritance graph"></center>
<map name="_analytic_heston_hull_white_engine__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_analytic_heston_engine.html" title="analytic Heston-model engine based on Fourier transform" alt="" coords="35,7,197,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_analytic_heston_hull_white_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Analytic Heston engine incl. stochastic interest rates.
<p>
this class prices a european options under the following processes<p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ \begin{array}{rcl} dS(t, S) &=& (r-d-\lambda m) S dt +\sqrt{v} S dW_1 + (e^J - 1) S dN \\ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\ dr(t) &=& (\theta(t) - a r) dt + \eta dW_3 \\ dW_1 dW_2 &=& \rho dt \\ dW_1 dW_3 &=& 0 \\ dW_2 dW_3 &=& 0 \\ \end{array} \]" src="form_248.png">
<p>
<p>
References:<p>
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.<p>
A. Sepp, Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (<<a href="http://math.ut.ee/~spartak/papers/stochjumpvols.pdf">http://math.ut.ee/~spartak/papers/stochjumpvols.pdf</a>>)<p>
<dl compact><dt><b><a class="el" href="test.html#_test000100">Tests:</a></b></dt><dd>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 </dd></dl>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6312443fc22d7644bfafa855afee82c2"></a><!-- doxytag: member="QuantLib::AnalyticHestonHullWhiteEngine::AnalyticHestonHullWhiteEngine" ref="6312443fc22d7644bfafa855afee82c2" args="(const boost::shared_ptr< HestonModel > &hestonModel, const boost::shared_ptr< HullWhite > &hullWhiteModel, Size integrationOrder=64)" -->
</td><td class="memItemRight" valign="bottom"><b>AnalyticHestonHullWhiteEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_model.html">HestonModel</a> > &hestonModel, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_hull_white.html">HullWhite</a> > &hullWhiteModel, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> integrationOrder=64)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_analytic_heston_hull_white_engine.html#c5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::AnalyticHestonHullWhiteEngine::calculate" ref="10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a10b245f3027db04aabb719f95dae0c6"></a><!-- doxytag: member="QuantLib::AnalyticHestonHullWhiteEngine::addOnTerm" ref="a10b245f3027db04aabb719f95dae0c6" args="(Real phi, Time t, Size j) const " -->
std::complex< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>addOnTerm</b> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> phi, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> j) const </td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="c5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::AnalyticHestonHullWhiteEngine::update" ref="c5c54df7ed3b930268c8d7752c101725" args="()" -->
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<td class="memname">void update </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"><code> [virtual]</code></td>
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<p>
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.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_generic_engine.html#c5c54df7ed3b930268c8d7752c101725">GenericEngine</a>.</p>
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