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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Klaus Spanderen
Copyright (C) 2007 StatPro Italia srl
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.
*/
#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
#include <utility>
namespace QuantLib {
AnalyticHestonHullWhiteEngine::AnalyticHestonHullWhiteEngine(
const ext::shared_ptr<HestonModel>& hestonModel,
ext::shared_ptr<HullWhite> hullWhiteModel,
Size integrationOrder)
: AnalyticHestonEngine(
hestonModel, AnalyticHestonEngine::Gatheral,
AnalyticHestonEngine::Integration::gaussLaguerre(integrationOrder)),
hullWhiteModel_(std::move(hullWhiteModel)) {
setParameters();
registerWith(hullWhiteModel_);
}
AnalyticHestonHullWhiteEngine::AnalyticHestonHullWhiteEngine(
const ext::shared_ptr<HestonModel>& hestonModel,
ext::shared_ptr<HullWhite> hullWhiteModel,
Real relTolerance,
Size maxEvaluations)
: AnalyticHestonEngine(
hestonModel, AnalyticHestonEngine::Gatheral,
AnalyticHestonEngine::Integration::gaussLobatto(
relTolerance, Null<Real>(), maxEvaluations)),
hullWhiteModel_(std::move(hullWhiteModel)) {
setParameters();
registerWith(hullWhiteModel_);
}
void AnalyticHestonHullWhiteEngine::update() {
setParameters();
AnalyticHestonEngine::update();
}
void AnalyticHestonHullWhiteEngine::calculate() const {
const Real t = model_->process()->time(arguments_.exercise->lastDate());
if (a_*t > std::pow(QL_EPSILON, 0.25)) {
m_ = sigma_*sigma_/(2*a_*a_)
*(t+2/a_*std::exp(-a_*t)-1/(2*a_)*std::exp(-2*a_*t)-3/(2*a_));
}
else {
// low-a algebraic limit
m_ = 0.5*sigma_*sigma_*t*t*t*(1/3.0-0.25*a_*t+7/60.0*a_*a_*t*t);
}
AnalyticHestonEngine::calculate();
}
void AnalyticHestonHullWhiteEngine::setParameters() {
a_ = hullWhiteModel_->params()[0];
sigma_ = hullWhiteModel_->params()[1];
}
}
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