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<li class="navelem"><a class="el" href="class_quant_lib_1_1_analytic_heston_hull_white_engine.html">AnalyticHestonHullWhiteEngine</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> </div>
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<div class="title">AnalyticHestonHullWhiteEngine Class Reference<div class="ingroups"><a class="el" href="group__vanillaengines.html">Vanilla option engines</a></div></div> </div>
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<!-- doxytag: class="QuantLib::AnalyticHestonHullWhiteEngine" --><!-- doxytag: inherits="QuantLib::AnalyticHestonEngine" -->
<p>Analytic Heston engine incl. stochastic interest rates.
<a href="class_quant_lib_1_1_analytic_heston_hull_white_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp></code></p>
<div class="dynheader">
Inheritance diagram for AnalyticHestonHullWhiteEngine:</div>
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<div class="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"/></div>
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<area shape="rect" id="node2" href="class_quant_lib_1_1_analytic_heston_engine.html" title="analytic Heston-model engine based on Fourier transform" alt="" coords="32,6,181,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_analytic_heston_hull_white_engine-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9b18a1700c3a0da0247e508f00f28dac"></a><!-- doxytag: member="QuantLib::AnalyticHestonHullWhiteEngine::AnalyticHestonHullWhiteEngine" ref="a9b18a1700c3a0da0247e508f00f28dac" args="(const boost::shared_ptr< HestonModel > &hestonModel, const boost::shared_ptr< HullWhite > &hullWhiteModel, Size integrationOrder=144)" -->
 </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#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> integrationOrder=144)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa7900b340886e5e832928eed0f7fb576"></a><!-- doxytag: member="QuantLib::AnalyticHestonHullWhiteEngine::AnalyticHestonHullWhiteEngine" ref="aa7900b340886e5e832928eed0f7fb576" args="(const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real relTolerance, Size maxEvaluations)" -->
 </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> > &model, 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#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> relTolerance, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> maxEvaluations)</td></tr>
<tr><td class="memItemLeft" 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#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::AnalyticHestonHullWhiteEngine::calculate" ref="a10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a406a77cd82a42a93cdcd5d292f17bfd0"></a><!-- doxytag: member="QuantLib::AnalyticHestonHullWhiteEngine::addOnTerm" ref="a406a77cd82a42a93cdcd5d292f17bfd0" args="(Real phi, Time t, Size j) const " -->
std::complex< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>addOnTerm</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> phi, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> j) const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Analytic Heston engine incl. stochastic interest rates. </p>
<p>This class is pricing a european options under the following processes</p>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ \begin{array}{rcl} dS(t, S) &=& (r-d) S dt +\sqrt{v} S dW_1 \\ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\ dr(t) &=& (\theta(t) - a r) dt + \eta dW_3 \\ dW_1 dW_2 &=& \rho dt \\ dW_1 dW_3 &=& 0 \\ dW_2 dW_3 &=& 0 \\ \end{array} \]" src="form_321.png"/>
</p>
<p>References:</p>
<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>
<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 class="test"><dt><b><a class="el" href="test.html#_test000117">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>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="ac5c54df7ed3b930268c8d7752c101725"></a><!-- doxytag: member="QuantLib::AnalyticHestonHullWhiteEngine::update" ref="ac5c54df7ed3b930268c8d7752c101725" args="()" -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_analytic_heston_hull_white_engine.html#ac5c54df7ed3b930268c8d7752c101725">update</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td><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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_generic_engine.html#ac5c54df7ed3b930268c8d7752c101725">GenericEngine< VanillaOption::arguments, VanillaOption::results ></a>.</p>
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