COSHestonEngine | quantlib.js

COS-method Heston engine based on efficient Fourier series expansions

References:

F. Fang, C.W. Oosterlee: A Novel Pricing Method for European Ooptions based on Fourier-Cosine Series Expansions, http://ta.twi.tudelft.nl/mf/users/oosterle/oosterlee/COS.pdf

Fabien Le Floc'h: Fourier Integration and Stochastic Volatility Calibration, https://papers.ssrn.com/sol3/papers2.cfm?abstract_id=2362968

test: the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.

Hierarchy

GenericModelEngine<HestonModel, Arguments, Results>
- COSHestonEngine

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new COSHestonEngine(model: HestonModel, L?: Real, N?: Size): COSHestonEngine

- Defined in ql/pricingengines/vanilla/coshestonengine.ts:34
Parameters
- model: HestonModel
- Default value L: Real = 16
- Default value N: Size = 200
Returns COSHestonEngine

Properties

Private _L

_L: Real

Private _N

_N: Size

_arguments

_arguments: Arguments

_isDisposed

_isDisposed: boolean = false

Private _kappa

_kappa: Real

_model

_model: Handle<HestonModel>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_results

_results: Results

Private _rho

_rho: Real

Private _sigma

_sigma: Real

Private _theta

_theta: Real

Private _v0

_v0: Real

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

c1

c1(t: Time): Real

- Defined in ql/pricingengines/vanilla/coshestonengine.ts:179
Parameters
- t: Time
Returns Real

c2

c2(t: Time): Real

- Defined in ql/pricingengines/vanilla/coshestonengine.ts:187
Parameters
- t: Time
Returns Real

c3

c3(t: Time): Real

- Defined in ql/pricingengines/vanilla/coshestonengine.ts:213
Parameters
- t: Time
Returns Real

c4

c4(t: Time): Real

- Defined in ql/pricingengines/vanilla/coshestonengine.ts:274
Parameters
- t: Time
Returns Real

calculate

calculate(): void

Overrides PricingEngineObserver.calculate
- Defined in ql/pricingengines/vanilla/coshestonengine.ts:61
Returns void

chF

chF(u: Real, t: Real): Complex

- Defined in ql/pricingengines/vanilla/coshestonengine.ts:137
Parameters
- u: Real
- t: Real
Returns Complex

getArguments

getArguments(): Arguments

Inherited from GenericEngine.getArguments

Overrides PricingEngineObserver.getArguments
- Defined in ql/genericengine.ts:17
Returns Arguments

getResults

getResults(): Results

Inherited from GenericEngine.getResults

Overrides PricingEngineObserver.getResults
- Defined in ql/genericengine.ts:21
Returns Results

init1

init1(model?: Handle<HestonModel>): GenericModelEngine<HestonModel, Arguments, Results>

Inherited from GenericModelEngine.init1
- Defined in ql/pricingengines/genericmodelengine.ts:20
Parameters
- Default value model: Handle<HestonModel> = new Handle()
Returns GenericModelEngine<HestonModel, Arguments, Results>

init2

init2(model: HestonModel): GenericModelEngine<HestonModel, Arguments, Results>

Inherited from GenericModelEngine.init2
- Defined in ql/pricingengines/genericmodelengine.ts:28
Parameters
- model: HestonModel
Returns GenericModelEngine<HestonModel, Arguments, Results>

muT

muT(t: Time): Real

- Defined in ql/pricingengines/vanilla/coshestonengine.ts:411
Parameters
- t: Time
Returns Real

reset

reset(): void

Inherited from GenericEngine.reset

Overrides PricingEngineObserver.reset
- Defined in ql/genericengine.ts:25
Returns void

update

update(): void

Overrides GenericEngine.update
- Defined in ql/pricingengines/vanilla/coshestonengine.ts:52
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

model: HestonModel

Default value L: Real = 16

Default value N: Size = 200

Returns COSHestonEngine

Properties

Private _L

Private _N

_arguments

_isDisposed

Private _kappa

_model

_observables

_observers

_results

Private _rho

Private _sigma

Private _theta

Private _v0

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

c1

Parameters

t: Time

Returns Real

c2

Parameters

t: Time

Returns Real

c3

Parameters

t: Time

Returns Real

c4

Parameters