public MakeMCHestonHullWhiteEngine(HybridHestonHullWhiteProcess process)
{
process_ = process;
steps_ = null;
stepsPerYear_ = null;
samples_ = null;
maxSamples_ = null;
antithetic_ = false;
controlVariate_ = false;
tolerance_ = null;
seed_ = 0;
}
protected override IPathGenerator <IRNG> controlPathGenerator()
{
int dimensions = process_.factors();
TimeGrid grid = this.timeGrid();
IRNG generator = (IRNG) new RNG().make_sequence_generator(dimensions * (grid.size() - 1), this.seed_);
HybridHestonHullWhiteProcess process = process_ as HybridHestonHullWhiteProcess;
Utils.QL_REQUIRE(process != null, () => "invalid process");
HybridHestonHullWhiteProcess cvProcess = new HybridHestonHullWhiteProcess(process.hestonProcess(),
process.hullWhiteProcess(), 0.0, process.discretization());
return(new MultiPathGenerator <IRNG>(cvProcess, grid, generator, false));
}
public MCHestonHullWhiteEngine(HybridHestonHullWhiteProcess process,
int?timeSteps,
int?timeStepsPerYear,
bool antitheticVariate,
bool controlVariate,
int?requiredSamples,
double?requiredTolerance,
int?maxSamples,
ulong seed)
: base(process, timeSteps, timeStepsPerYear, false, antitheticVariate, controlVariate, requiredSamples,
requiredTolerance, maxSamples, seed)
{
process_ = process;
}
protected override IPricingEngine controlPricingEngine()
{
HybridHestonHullWhiteProcess process = process_ as HybridHestonHullWhiteProcess;
Utils.QL_REQUIRE(process != null, () => "invalid process");
HestonProcess hestonProcess = process.hestonProcess();
HullWhiteForwardProcess hullWhiteProcess = process.hullWhiteProcess();
HestonModel hestonModel = new HestonModel(hestonProcess);
HullWhite hwModel = new HullWhite(hestonProcess.riskFreeRate(),
hullWhiteProcess.a(),
hullWhiteProcess.sigma());
return(new AnalyticHestonHullWhiteEngine(hestonModel, hwModel, 144));
}
protected override PathPricer <IPath> controlPathPricer()
{
HybridHestonHullWhiteProcess process = process_ as HybridHestonHullWhiteProcess;
Utils.QL_REQUIRE(process != null, () => "invalid process");
HestonProcess hestonProcess = process.hestonProcess();
Utils.QL_REQUIRE(hestonProcess != null, () =>
"first constituent of the joint stochastic process need to be of type HestonProcess");
Exercise exercise = this.arguments_.exercise;
Utils.QL_REQUIRE(exercise.type() == Exercise.Type.European, () => "only european exercise is supported");
double exerciseTime = process.time(exercise.lastDate());
return(new HestonHullWhitePathPricer(exerciseTime, this.arguments_.payoff, process));
}
public HestonHullWhitePathPricer(double exerciseTime, Payoff payoff, HybridHestonHullWhiteProcess process)
{
exerciseTime_ = exerciseTime;
payoff_ = payoff;
process_ = process;
}