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 Types | |
enum | Discretization { PartialTruncation, FullTruncation, Reflection, ExactVariance } |
Public Member Functions | |
HestonProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, const Handle< Quote > &s0, double v0, double kappa, double theta, double sigma, double rho, Discretization d=FullTruncation) | |
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 |
const RelinkableHandle< Quote > & | v0 () const |
const RelinkableHandle< Quote > & | rho () const |
const RelinkableHandle< Quote > & | kappa () const |
const RelinkableHandle< Quote > & | theta () const |
const RelinkableHandle< Quote > & | sigma () const |
const Handle< Quote > & | s0 () const |
const Handle< YieldTermStructure > & | dividendYield () const |
const Handle< YieldTermStructure > & | riskFreeRate () const |
void | update () |
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.
Disposable<Array> evolve | ( | Time | t0, | |
const Array & | x0, | |||
Time | dt, | |||
const Array & | dw | |||
) | const [virtual] |
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.
void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
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.