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");
}
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));
}