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.