Class AnalyticHestonEngineAPHelper

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

The integrand of AnalyticHestonEngine's control-variate forms and the control variate's value: QuantLib's AnalyticHestonEngine::AP_Helper.

public sealed class AnalyticHestonEngineAPHelper

Inheritance

object

AnalyticHestonEngineAPHelper

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

The integrand is the damped difference between the control variate's characteristic function and the model's, on the real line for Andersen and Piterbarg's forms and on an angled contour for the others; the price is the control variate's value plus the forward over π times the integral, discounted. Immutable.

Constructors

AnalyticHestonEngineAPHelper(double, double, double, AnalyticHestonEngineComplexLogFormula, AnalyticHestonEngine, double)

Initializes a new instance of the AnalyticHestonEngineAPHelper class.

public AnalyticHestonEngineAPHelper(double term, double fwd, double strike, AnalyticHestonEngineComplexLogFormula cpxLog, AnalyticHestonEngine engine, double alpha = -0.5)

Parameters

term double

The maturity.

fwd double

The forward.

strike double

The strike.

cpxLog AnalyticHestonEngineComplexLogFormula

The control variate: one of Andersen and Piterbarg's, the asymptotic expansion's or the angled contour's.

engine AnalyticHestonEngine

The engine whose model and characteristic function the integrand reads.

alpha double

The damping exponent.

Exceptions

ArgumentNullException

engine is null.

ArgumentOutOfRangeException

cpxLog isn't a member of its enum.

ArgumentException

cpxLog is no control variate: Gatheral's form, the branch correction or the optimal choice.

Methods

ControlVariateValue()

The control variate's value, undiscounted.

public double ControlVariateValue()

Returns

double

The value: a Black price at the average variance for Andersen and Piterbarg's forms and the angled contour, the asymptotic expansion's closed form, or the residue term without a control variate.

Exceptions

NanoQLException

The asymptotic expansion's damping exponent isn't −0.5.

Evaluate(double)

The integrand at u.

public double Evaluate(double u)

Parameters

u double

The integration variable.

Returns

double

The integrand's value.

Exceptions

NanoQLException

The engine adds a term to the characteristic function: the control variates serve the Heston model alone.