QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <hestonslvprocess.hpp>
Public Member Functions | |
HestonSLVProcess (const ext::shared_ptr< HestonProcess > &hestonProcess, ext::shared_ptr< LocalVolTermStructure > leverageFct, Real mixingFactor=1.0) | |
Size | size () const override |
returns the number of dimensions of the stochastic process More... | |
Size | factors () const override |
returns the number of independent factors of the process More... | |
void | update () override |
Array | initialValues () const override |
returns the initial values of the state variables More... | |
Array | apply (const Array &x0, const Array &dx) const override |
Array | drift (Time t, const Array &x) const override |
returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \) More... | |
Matrix | diffusion (Time t, const Array &x) const override |
returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \) More... | |
Array | evolve (Time t0, const Array &x0, Time dt, const Array &dw) const override |
Real | v0 () const |
Real | rho () const |
Real | kappa () const |
Real | theta () const |
Real | sigma () const |
Real | mixingFactor () const |
ext::shared_ptr< LocalVolTermStructure > | leverageFct () const |
const Handle< Quote > & | s0 () const |
const Handle< YieldTermStructure > & | dividendYield () const |
const Handle< YieldTermStructure > & | riskFreeRate () const |
Time | time (const Date &d) const override |
Public Member Functions inherited from StochasticProcess | |
~StochasticProcess () override=default | |
virtual Array | expectation (Time t0, const Array &x0, Time dt) const |
virtual Matrix | stdDeviation (Time t0, const Array &x0, Time dt) const |
virtual Matrix | covariance (Time t0, const Array &x0, Time dt) const |
void | update () override |
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 () |
Private Member Functions | |
void | setParameters () |
Private Attributes | |
Real | kappa_ |
Real | theta_ |
Real | sigma_ |
Real | rho_ |
Real | v0_ |
Real | mixingFactor_ |
Real | mixedSigma_ |
const ext::shared_ptr< HestonProcess > | hestonProcess_ |
const ext::shared_ptr< LocalVolTermStructure > | leverageFct_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from StochasticProcess | |
StochasticProcess ()=default | |
StochasticProcess (ext::shared_ptr< discretization >) | |
Protected Attributes inherited from StochasticProcess | |
ext::shared_ptr< discretization > | discretization_ |
Definition at line 33 of file hestonslvprocess.hpp.
HestonSLVProcess | ( | const ext::shared_ptr< HestonProcess > & | hestonProcess, |
ext::shared_ptr< LocalVolTermStructure > | leverageFct, | ||
Real | mixingFactor = 1.0 |
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overridevirtual |
returns the number of dimensions of the stochastic process
Implements StochasticProcess.
Definition at line 39 of file hestonslvprocess.hpp.
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overridevirtual |
returns the number of independent factors of the process
Reimplemented from StochasticProcess.
Definition at line 40 of file hestonslvprocess.hpp.
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overridevirtual |
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.
Implements Observer.
Definition at line 41 of file hestonslvprocess.cpp.
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overridevirtual |
returns the initial values of the state variables
Implements StochasticProcess.
Definition at line 44 of file hestonslvprocess.hpp.
applies a change to the asset value. By default, it returns \( \mathrm{x} + \Delta \mathrm{x} \).
Reimplemented from StochasticProcess.
Definition at line 47 of file hestonslvprocess.hpp.
returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)
Implements StochasticProcess.
Definition at line 46 of file hestonslvprocess.cpp.
returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)
Implements StochasticProcess.
Definition at line 61 of file hestonslvprocess.cpp.
returns the asset value after a time interval \( \Delta t \) according to the given discretization. By default, it returns
\[ E(\mathrm{x}_0,t_0,\Delta t) + S(\mathrm{x}_0,t_0,\Delta t) \cdot \Delta \mathrm{w} \]
where \( E \) is the expectation and \( S \) the standard deviation.
Reimplemented from StochasticProcess.
Definition at line 76 of file hestonslvprocess.cpp.
Real v0 | ( | ) | const |
Definition at line 55 of file hestonslvprocess.hpp.
Real rho | ( | ) | const |
Definition at line 56 of file hestonslvprocess.hpp.
Real kappa | ( | ) | const |
Definition at line 57 of file hestonslvprocess.hpp.
Real theta | ( | ) | const |
Definition at line 58 of file hestonslvprocess.hpp.
Real sigma | ( | ) | const |
Definition at line 59 of file hestonslvprocess.hpp.
Real mixingFactor | ( | ) | const |
Definition at line 60 of file hestonslvprocess.hpp.
ext::shared_ptr< LocalVolTermStructure > leverageFct | ( | ) | const |
Definition at line 61 of file hestonslvprocess.hpp.
Definition at line 65 of file hestonslvprocess.hpp.
const Handle< YieldTermStructure > & dividendYield | ( | ) | const |
const Handle< YieldTermStructure > & riskFreeRate | ( | ) | const |
returns the time value corresponding to the given date in the reference system of the stochastic process.
Reimplemented from StochasticProcess.
Definition at line 73 of file hestonslvprocess.hpp.
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Definition at line 76 of file hestonslvprocess.hpp.
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Definition at line 76 of file hestonslvprocess.hpp.
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Definition at line 76 of file hestonslvprocess.hpp.
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Definition at line 76 of file hestonslvprocess.hpp.
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Definition at line 76 of file hestonslvprocess.hpp.
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Definition at line 76 of file hestonslvprocess.hpp.
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Definition at line 76 of file hestonslvprocess.hpp.
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Definition at line 78 of file hestonslvprocess.hpp.
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Definition at line 79 of file hestonslvprocess.hpp.