QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | Protected Member Functions | List of all members
HestonSLVMCModel Class Reference

#include <ql/experimental/models/hestonslvmcmodel.hpp>

+ Inheritance diagram for HestonSLVMCModel:

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< HestonProcesshestonProcess () const
 
boost::shared_ptr< LocalVolTermStructurelocalVol () const
 
boost::shared_ptr< LocalVolTermStructureleverageFunction () const
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
void alwaysForwardNotifications ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 
bool alwaysForward_
 

Detailed Description

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

Member Function Documentation

◆ performCalculations()

void performCalculations ( ) const
protectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.