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 MakeFdHestonVanillaEngine(HestonModel hestonModel)
{
hestonModel_ = hestonModel;
tGrid_ = 100;
xGrid_ = 100;
vGrid_ = 50;
dampingSteps_ = 0;
schemeDesc_ = new FdmSchemeDesc().Hundsdorfer();
leverageFct_ = null;
quantoHelper_ = null;
}
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 Fj_Helper(VanillaOption.Arguments arguments,
HestonModel model,
AnalyticHestonEngine engine,
ComplexLogFormula cpxLog,
double term, double ratio, int j)
{
j_ = j; //arg_(arguments),
kappa_ = model.kappa();
theta_ = model.theta();
sigma_ = model.sigma();
v0_ = model.v0();
cpxLog_ = cpxLog;
term_ = term;
x_ = Math.Log(model.process().s0().link.value());
sx_ = Math.Log(((StrikedTypePayoff)(arguments.payoff)).strike());
dd_ = x_ - Math.Log(ratio);
sigma2_ = sigma_ * sigma_;
rsigma_ = model.rho() * sigma_;
t0_ = kappa_ - ((j_ == 1) ? model.rho() * sigma_ : 0);
b_ = 0;
g_km1_ = 0;
engine_ = engine;
}
public AnalyticH1HWEngine(HestonModel model, HullWhite hullWhiteModel, double rhoSr, double relTolerance,
int maxEvaluations)
: base(model, hullWhiteModel, relTolerance, maxEvaluations)
{
rhoSr_ = rhoSr;
}