HestonProcess Class Reference#include <ql/Processes/hestonprocess.hpp>
Inheritance diagram for HestonProcess:
[legend]List of all members.
Detailed Description
Square-root stochastic-volatility Heston process.
This class describes the square root stochastic volatility process governed by
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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
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Disposable< Array > | initialValues () const |
| returns the initial values of the state variables
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Disposable< Array > | drift (Time t, const Array &x) const |
| returns the drift part of the equation, i.e.,
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Disposable< Matrix > | diffusion (Time t, const Array &x) const |
| returns the diffusion part of the equation, i.e.
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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
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applies a change to the asset value. By default, it returns .
Reimplemented from StochasticProcess. |
Time time |
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const Date & |
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const [virtual] |
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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. |
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