FdHestonVanillaEngine

Finite-Differences Heston Vanilla Option engine

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>
- FdHestonVanillaEngine

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new FdHestonVanillaEngine(model: HestonModel, tGrid?: number, xGrid?: number, vGrid?: number, dampingSteps?: number, schemeDesc?: FdmSchemeDesc, leverageFct?: LocalVolTermStructure): FdHestonVanillaEngine

- Defined in ql/pricingengines/vanilla/fdhestonvanillaengine.ts:38
Parameters
- model: HestonModel
- Default value tGrid: number = 100
- Default value xGrid: number = 100
- Default value vGrid: number = 50
- Default value dampingSteps: number = 0
- Default value schemeDesc: FdmSchemeDesc = FdmSchemeDesc.Hundsdorfer()
- Default value leverageFct: LocalVolTermStructure = null
Returns FdHestonVanillaEngine

Properties

_arguments

_arguments: Arguments

Private _cachedArgs2results

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

Private _dampingSteps

_dampingSteps: Size

_isDisposed

_isDisposed: boolean = false

Private _leverageFct

_leverageFct: LocalVolTermStructure

_model

_model: Handle<HestonModel>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_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

- (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

calculate

calculate(): void

Overrides PricingEngineObserver.calculate
- Defined in ql/pricingengines/vanilla/fdhestonvanillaengine.ts:58
Returns void

enableMultipleStrikesCaching

enableMultipleStrikesCaching(strikes: Real[]): void

- Defined in ql/pricingengines/vanilla/fdhestonvanillaengine.ts:120
Parameters
- strikes: Real[]
Returns void

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

getSolverDesc

getSolverDesc(equityScaleFactor: Real): FdmSolverDesc

- Defined in ql/pricingengines/vanilla/fdhestonvanillaengine.ts:125
Parameters
- equityScaleFactor: Real
Returns FdmSolverDesc

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>

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/fdhestonvanillaengine.ts:115
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

model: HestonModel

Default value tGrid: number = 100

Default value xGrid: number = 100

Default value vGrid: number = 50

Default value dampingSteps: number = 0

Default value schemeDesc: FdmSchemeDesc = FdmSchemeDesc.Hundsdorfer()

Default value leverageFct: LocalVolTermStructure = null

Returns FdHestonVanillaEngine

Properties

_arguments

Private _cachedArgs2results

Private _dampingSteps

_isDisposed

Private _leverageFct

_model

_observables

_observers

_results

Private _schemeDesc

Private _strikes

Private _tGrid

Private _vGrid

Private _xGrid

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

calculate

Returns void

enableMultipleStrikesCaching

Parameters

strikes: Real[]

Returns void

getArguments

Returns Arguments

getResults