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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2020 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 exponentialfittinghestonengine.hpp
\brief analytic Heston-model engine based on exponential fitting
*/
#ifndef quantlib_exponential_fitting_heston_engine_hpp
#define quantlib_exponential_fitting_heston_engine_hpp
#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
#include <vector>
namespace QuantLib {
class AnalyticHestonEngine;
//! analytic Heston-model engine based on
// exponentially fitted Gauss-Laguerre quadrature
/*! References:
D. Conte, L. Ixaru, B. Paternoster, G. Santomauro, 2014
Exponentially-fitted Gauss–Laguerre quadrature rule for
integrals over an unbounded interval
For adaptation details see
https://hpcquantlib.wordpress.com/2020/05/17/optimized-heston-model-integration-exponentially-fitted-gauss-laguerre-quadrature-rule/
*/
class ExponentialFittingHestonEngine
: public GenericModelEngine<HestonModel,
VanillaOption::arguments,
VanillaOption::results> {
public:
typedef AnalyticHestonEngine::ComplexLogFormula ControlVariate;
explicit ExponentialFittingHestonEngine(
const ext::shared_ptr<HestonModel>& model,
ControlVariate cv = ControlVariate::OptimalCV,
Real scaling = Null<Real>(),
Real alpha = -0.5);
void calculate() const override;
private:
const ControlVariate cv_;
const Real scaling_, alpha_;
const ext::shared_ptr<AnalyticHestonEngine> analyticEngine_;
static std::vector<Real> moneyness_;
};
}
#endif
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