QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Heston model for the stochastic volatility of an asset. More...
#include <hestonmodel.hpp>
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 ¶ms, 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 ¶ms) |
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 () | |
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 |
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.
Definition at line 42 of file hestonmodel.hpp.
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explicit |
Real theta | ( | ) | const |
Real kappa | ( | ) | const |
Real sigma | ( | ) | const |
Real rho | ( | ) | const |
Real v0 | ( | ) | const |
ext::shared_ptr< HestonProcess > process | ( | ) | const |
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overrideprotectedvirtual |
Reimplemented from CalibratedModel.
Definition at line 44 of file hestonmodel.cpp.
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protected |
Definition at line 63 of file hestonmodel.hpp.