Пример #1
0
        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));
        }
Пример #2
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        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));
        }
Пример #3
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        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));
        }