- QuantLib
- FdHestonHullWhiteVanillaEngine
Finite-Differences Heston Hull-White Vanilla Option engine. More...
#include <ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp>
Public Member Functions | |
FdHestonHullWhiteVanillaEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhiteProcess > &hwProcess, Real corrEquityShortRate, Size tGrid=50, Size xGrid=100, Size vGrid=40, Size rGrid=20, Size dampingSteps=0, bool controlVariate=true, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer()) | |
void | calculate () const |
void | update () |
void | enableMultipleStrikesCaching (const std::vector< Real > &strikes) |
Finite-Differences Heston Hull-White Vanilla Option engine.
void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >.