#include <ql/experimental/models/hestonslvmcmodel.hpp>
Public Member Functions | |
HestonSLVMCModel (const Handle< LocalVolTermStructure > &localVol, const Handle< HestonModel > &hestonModel, const boost::shared_ptr< BrownianGeneratorFactory > &brownianGeneratorFactory, const Date &endDate, Size timeStepsPerYear=365, Size nBins=201, Size calibrationPaths=(1<< 15), const std::vector< Date > &mandatoryDates=std::vector< Date >()) | |
boost::shared_ptr< HestonProcess > | hestonProcess () const |
boost::shared_ptr< LocalVolTermStructure > | localVol () const |
boost::shared_ptr< LocalVolTermStructure > | leverageFunction () const |
![]() | |
void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
void | alwaysForwardNotifications () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
![]() | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Protected Member Functions | |
void | performCalculations () const |
![]() | |
virtual void | calculate () const |
Additional Inherited Members | |
![]() | |
typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
![]() | |
bool | calculated_ |
bool | frozen_ |
bool | alwaysForward_ |
References:
Anthonie W. van der Stoep,Lech A. Grzelak, Cornelis W. Oosterlee, 2013, The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2278122
|
protectedvirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.