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Class FdHestonHullWhiteVanillaEngine

Finite-Differences Heston Hull-White Vanilla Option engine

test

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

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    • model: HestonModel
    • hwProcess: HullWhiteProcess
    • corrEquityShortRate: Real
    • Default value tGrid: Size = 50
    • Default value xGrid: Size = 100
    • Default value vGrid: Size = 40
    • Default value rGrid: Size = 20
    • Default value dampingSteps: Size = 0
    • Default value controlVariate: boolean = true
    • Default value schemeDesc: FdmSchemeDesc = FdmSchemeDesc.Hundsdorfer()

    Returns FdHestonHullWhiteVanillaEngine

Properties

_arguments

_arguments: Arguments

Private _cachedArgs2results

_cachedArgs2results: Array<[Arguments, Results]> = []

Private _controlVariate

_controlVariate: boolean

Private _corrEquityShortRate

_corrEquityShortRate: Real

Private _dampingSteps

_dampingSteps: Size

Private _hwProcess

_hwProcess: HullWhiteProcess

_isDisposed

_isDisposed: boolean = false

_model

_model: Handle<HestonModel>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _rGrid

_rGrid: Size

_results

_results: Results

Private _schemeDesc

_schemeDesc: FdmSchemeDesc

Private _strikes

_strikes: Real[]

Private _tGrid

_tGrid: Size

Private _vGrid

_vGrid: Size

Private _xGrid

_xGrid: Size

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

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

calculate

  • calculate(): void

enableMultipleStrikesCaching

  • enableMultipleStrikesCaching(strikes: Real[]): void

  • Parameters

    Returns void

getArguments

getResults

init1

init2

reset

  • reset(): void

update

  • update(): void

  • Returns void