HestonProcess Class Reference
[Stochastic processes]
#include <ql/Processes/hestonprocess.hpp>
Inheritance diagram for HestonProcess:

Detailed Description
Square-root stochastic-volatility Heston process.This class describes the square root stochastic volatility process governed by
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) | |
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 |
Real | s0 () const |
Real | v0 () const |
Real | rho () const |
Real | kappa () const |
Real | theta () const |
Real | sigma () const |
const boost::shared_ptr< YieldTermStructure > & | dividendYield () const |
const boost::shared_ptr< YieldTermStructure > & | riskFreeRate () const |
Time | time (const Date &) const |
Member Function Documentation
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.
Time time | ( | const Date & | ) | const [virtual] |
returns the time value corresponding to the given date in the reference system of the stochastic process.
- Note:
- As a number of processes might not need this functionality, a default implementation is given which raises an exception.
Reimplemented from StochasticProcess.