- QuantLib
- HestonProcess
Square-root stochastic-volatility Heston process. More...
#include <ql/processes/hestonprocess.hpp>
Public Types | |
enum | Discretization { PartialTruncation, FullTruncation, Reflection, NonCentralChiSquareVariance, QuadraticExponential, QuadraticExponentialMartingale } |
Public Member Functions | |
HestonProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Discretization d=QuadraticExponentialMartingale) | |
Size | size () const |
returns the number of dimensions of the stochastic process | |
Disposable< Array > | initialValues () const |
returns the initial values of the state variables | |
Disposable< Array > | drift (Time t, const Array &x) const |
returns the drift part of the equation, i.e., ![]() | |
Disposable< Matrix > | diffusion (Time t, const Array &x) const |
returns the diffusion part of the equation, i.e. ![]() | |
Disposable< Array > | apply (const Array &x0, const Array &dx) const |
Disposable< Array > | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const |
Real | v0 () const |
Real | rho () const |
Real | kappa () const |
Real | theta () const |
Real | sigma () const |
const Handle< Quote > & | s0 () const |
const Handle < YieldTermStructure > & | dividendYield () const |
const Handle < YieldTermStructure > & | riskFreeRate () const |
Time | time (const Date &) const |
Square-root stochastic-volatility Heston process.
This class describes the square root stochastic volatility process governed by
Disposable<Array> apply | ( | const Array & | x0, |
const Array & | dx | ||
) | const [virtual] |
applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess.
returns the asset value after a time interval according to the given discretization. By default, it returns
where is the expectation and
the standard deviation.
Reimplemented from StochasticProcess.
Reimplemented in BatesProcess.
returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess.