HestonModel Class Reference

Heston model for the stochastic volatility of an asset. More...

#include <hestonmodel.hpp>

Inheritance diagram for HestonModel:

Collaboration diagram for HestonModel:

Classes
class	FellerConstraint

Public Member Functions
	HestonModel (const ext::shared_ptr< HestonProcess > &process)
Real	theta () const
Real	kappa () const
Real	sigma () const
Real	rho () const
Real	v0 () const
ext::shared_ptr< HestonProcess >	process () const
Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)
void	update () override
virtual void	calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...
Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
const ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...
const Array &	problemValues () const
	Returns the problem values. More...
Array	params () const
	Returns array of arguments on which calibration is done. More...
virtual void	setParams (const Array &params)
Integer	functionEvaluation () const
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Protected Member Functions
void	generateArguments () override
virtual void	generateArguments ()

Protected Attributes
ext::shared_ptr< HestonProcess >	process_
Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None
Array	problemValues_
Integer	functionEvaluation_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Heston model for the stochastic volatility of an asset.

References:

Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.

Tests:

calibration is tested against known good values.

Definition at line 42 of file hestonmodel.hpp.

Constructor & Destructor Documentation

HestonModel()

HestonModel ( const ext::shared_ptr< HestonProcess > &  process )

explicit

Definition at line 26 of file hestonmodel.cpp.

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Member Function Documentation

theta()

Real theta

(

)

const

Definition at line 47 of file hestonmodel.hpp.

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kappa()

Real kappa

(

)

const

Definition at line 49 of file hestonmodel.hpp.

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sigma()

Real sigma

(

)

const

Definition at line 51 of file hestonmodel.hpp.

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rho()

Real rho

(

)

const

Definition at line 53 of file hestonmodel.hpp.

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v0()

Real v0

(

)

const

Definition at line 55 of file hestonmodel.hpp.

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process()

ext::shared_ptr< HestonProcess > process

(

)

const

Definition at line 58 of file hestonmodel.hpp.

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generateArguments()

void generateArguments ( )

overrideprotectedvirtual

Reimplemented from CalibratedModel.

Definition at line 45 of file hestonmodel.cpp.

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Member Data Documentation

process_

ext::shared_ptr<HestonProcess> process_

protected

Definition at line 63 of file hestonmodel.hpp.