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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2015 Johannes Göttker-Schnetmann
Copyright (C) 2015 Klaus Spanderen
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
<https://www.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 hestonslvmcmodel.hpp
\brief Calibration of a Heston stochastic local volatility model based on MC
*/
#ifndef quantlib_heston_slv_mc_model_hpp
#define quantlib_heston_slv_mc_model_hpp
#include <ql/handle.hpp>
#include <ql/timegrid.hpp>
#include <ql/patterns/lazyobject.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/models/marketmodels/browniangenerator.hpp>
#include <ql/termstructures/volatility/equityfx/fixedlocalvolsurface.hpp>
namespace QuantLib {
/*! References:
Anthonie W. van der Stoep,Lech A. Grzelak, Cornelis W. Oosterlee, 2013,
The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2278122
*/
class HestonSLVMCModel : public LazyObject {
public:
HestonSLVMCModel(Handle<LocalVolTermStructure> localVol,
Handle<HestonModel> hestonModel,
ext::shared_ptr<BrownianGeneratorFactory> brownianGeneratorFactory,
const Date& endDate,
Size timeStepsPerYear = 365,
Size nBins = 201,
Size calibrationPaths = (1 << 15),
const std::vector<Date>& mandatoryDates = std::vector<Date>(),
Real mixingFactor = 1.0);
ext::shared_ptr<HestonProcess> hestonProcess() const;
ext::shared_ptr<LocalVolTermStructure> localVol() const;
ext::shared_ptr<LocalVolTermStructure> leverageFunction() const;
protected:
void performCalculations() const override;
private:
const Handle<LocalVolTermStructure> localVol_;
const Handle<HestonModel> hestonModel_;
const ext::shared_ptr<BrownianGeneratorFactory> brownianGeneratorFactory_;
const Date endDate_;
const Size nBins_, calibrationPaths_;
const Real mixingFactor_;
ext::shared_ptr<TimeGrid> timeGrid_;
mutable ext::shared_ptr<FixedLocalVolSurface> leverageFunction_;
};
}
#endif
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