HestonProcess Class Reference
#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
![\[ \begin{array}{rcl} dS(t, S) &=& \mu S dt + \sqrt{v} S dW_1 \\ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\ dW_1 dW_2 &=& \rho dt \end{array} \]](form_255.png)
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
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applies a change to the asset value. By default, it returns Reimplemented from StochasticProcess. |
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returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess. |
