public HybridHestonHullWhiteProcess(HestonProcess hestonProcess,
HullWhiteForwardProcess hullWhiteProcess,
double corrEquityShortRate,
Discretization discretization = Discretization.BSMHullWhite)
{
hestonProcess_ = hestonProcess;
hullWhiteProcess_ = hullWhiteProcess;
hullWhiteModel_ = new HullWhite(hestonProcess.riskFreeRate(),
hullWhiteProcess.a(),
hullWhiteProcess.sigma());
corrEquityShortRate_ = corrEquityShortRate;
disc_ = discretization;
maxRho_ = Math.Sqrt(1 - hestonProcess.rho() * hestonProcess.rho())
- Math.Sqrt(Const.QL_EPSILON) /* reserve for rounding errors */;
T_ = hullWhiteProcess.getForwardMeasureTime();
endDiscount_ = hestonProcess.riskFreeRate().link.discount(T_);
Utils.QL_REQUIRE(corrEquityShortRate * corrEquityShortRate
+ hestonProcess.rho() * hestonProcess.rho() <= 1.0, () =>
"correlation matrix is not positive definite");
Utils.QL_REQUIRE(hullWhiteProcess.sigma() > 0.0, () =>
"positive vol of Hull White process is required");
}
public AnalyticH1HWEngine(HestonModel model, HullWhite hullWhiteModel, double rhoSr, int integrationOrder = 144)
: base(model, hullWhiteModel, integrationOrder)
{
rhoSr_ = rhoSr;
Utils.QL_REQUIRE(rhoSr_ >= 0.0, () => "Fourier integration is not stable if " +
"the equity interest rate correlation is negative");
}
public AnalyticHestonHullWhiteEngine(HestonModel hestonModel,
HullWhite hullWhiteModel,
double relTolerance, int maxEvaluations)
: base(hestonModel, relTolerance, maxEvaluations)
{
hullWhiteModel_ = hullWhiteModel;
update();
hullWhiteModel_.registerWith(update);
}
// see AnalticHestonEninge for usage of different constructors
public AnalyticHestonHullWhiteEngine(HestonModel hestonModel,
HullWhite hullWhiteModel,
int integrationOrder = 144)
: base(hestonModel, integrationOrder)
{
hullWhiteModel_ = hullWhiteModel;
update();
hullWhiteModel_.registerWith(update);
}
public FdmHullWhiteOp(FdmMesher mesher,
HullWhite model,
int direction)
{
x_ = mesher.locations(direction);
dzMap_ = new TripleBandLinearOp(new FirstDerivativeOp(direction, mesher).mult(-1.0 * x_ * model.a()).add(
new SecondDerivativeOp(direction, mesher).mult(0.5 * model.sigma() * model.sigma()
* new Vector(mesher.layout().size(), 1.0))));
mapT_ = new TripleBandLinearOp(direction, mesher);
direction_ = direction;
model_ = model;
}
public Fj_Helper(Handle <HestonModel> hestonModel, HullWhite hullWhiteModel, double rhoSr, double term,
double strike, int j)
{
j_ = j;
lambda_ = hullWhiteModel.a();
eta_ = hullWhiteModel.sigma();
v0_ = hestonModel.link.v0();
kappa_ = hestonModel.link.kappa();
theta_ = hestonModel.link.theta();
gamma_ = hestonModel.link.sigma();
d_ = 4.0 * kappa_ * theta_ / (gamma_ * gamma_);
rhoSr_ = rhoSr;
term_ = term;
}
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));
}
public AnalyticH1HWEngine(HestonModel model, HullWhite hullWhiteModel, double rhoSr, double relTolerance,
int maxEvaluations)
: base(model, hullWhiteModel, relTolerance, maxEvaluations)
{
rhoSr_ = rhoSr;
}
