#include <hestonslvprocess.hpp>

Inheritance diagram for HestonSLVProcess:

Collaboration diagram for HestonSLVProcess:

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 ()=default

	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_

Detailed Description

Definition at line 33 of file hestonslvprocess.hpp.

Constructor & Destructor Documentation

◆ HestonSLVProcess()

HestonSLVProcess	(	const ext::shared_ptr< HestonProcess > &	hestonProcess,
		ext::shared_ptr< LocalVolTermStructure >	leverageFct,
		Real	mixingFactor = `1.0`
	)

Definition at line 32 of file hestonslvprocess.cpp.

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Member Function Documentation

◆ size()

Size size ( ) const

overridevirtual

returns the number of dimensions of the stochastic process

Implements StochasticProcess.

Definition at line 39 of file hestonslvprocess.hpp.

◆ factors()

Size factors ( ) const

overridevirtual

returns the number of independent factors of the process

Reimplemented from StochasticProcess.

Definition at line 40 of file hestonslvprocess.hpp.

◆ update()

void update ( )

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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◆ initialValues()

Array initialValues ( ) const

overridevirtual

returns the initial values of the state variables

Implements StochasticProcess.

Definition at line 44 of file hestonslvprocess.hpp.

◆ apply()

Array apply	(	const Array &	x0,
		const Array &	dx
	)		const

overridevirtual

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.

◆ drift()

Array drift	(	Time	t,
		const Array &	x
	)		const

overridevirtual

returns the drift part of the equation, i.e., \( \mu(t, \mathrm{x}_t) \)

Implements StochasticProcess.

Definition at line 46 of file hestonslvprocess.cpp.

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◆ diffusion()

Matrix diffusion	(	Time	t,
		const Array &	x
	)		const

overridevirtual

returns the diffusion part of the equation, i.e. \( \sigma(t, \mathrm{x}_t) \)

Implements StochasticProcess.

Definition at line 61 of file hestonslvprocess.cpp.

◆ evolve()

Array evolve	(	Time	t0,
		const Array &	x0,
		Time	dt,
		const Array &	dw
	)		const

overridevirtual

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.

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◆ v0()

Real v0 ( ) const

Definition at line 55 of file hestonslvprocess.hpp.

◆ rho()

Real rho ( ) const

Definition at line 56 of file hestonslvprocess.hpp.

◆ kappa()

Real kappa ( ) const

Definition at line 57 of file hestonslvprocess.hpp.

◆ theta()

Real theta ( ) const

Definition at line 58 of file hestonslvprocess.hpp.

◆ sigma()

Real sigma ( ) const

Definition at line 59 of file hestonslvprocess.hpp.

◆ mixingFactor()

Real mixingFactor ( ) const

Definition at line 60 of file hestonslvprocess.hpp.

◆ leverageFct()

ext::shared_ptr< LocalVolTermStructure > leverageFct ( ) const

Definition at line 61 of file hestonslvprocess.hpp.

◆ s0()

const Handle< Quote > & s0 ( ) const

Definition at line 65 of file hestonslvprocess.hpp.

◆ dividendYield()

const Handle< YieldTermStructure > & dividendYield ( ) const

Definition at line 66 of file hestonslvprocess.hpp.

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◆ riskFreeRate()

const Handle< YieldTermStructure > & riskFreeRate ( ) const

Definition at line 69 of file hestonslvprocess.hpp.

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◆ time()

Time time ( const Date & ) const

overridevirtual

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.

Definition at line 73 of file hestonslvprocess.hpp.

◆ setParameters()

void setParameters ( )

private

Definition at line 119 of file hestonslvprocess.cpp.

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Member Data Documentation

◆ kappa_

Real kappa_

private

Definition at line 76 of file hestonslvprocess.hpp.

◆ theta_

Real theta_

private

Definition at line 76 of file hestonslvprocess.hpp.

◆ sigma_

Real sigma_

private

Definition at line 76 of file hestonslvprocess.hpp.

◆ rho_

Real rho_

private

Definition at line 76 of file hestonslvprocess.hpp.

◆ v0_

Real v0_

private

Definition at line 76 of file hestonslvprocess.hpp.

◆ mixingFactor_

Real mixingFactor_

private

Definition at line 76 of file hestonslvprocess.hpp.

◆ mixedSigma_

Real mixedSigma_

private

Definition at line 76 of file hestonslvprocess.hpp.

◆ hestonProcess_

const ext::shared_ptr<HestonProcess> hestonProcess_

private

Definition at line 78 of file hestonslvprocess.hpp.

◆ leverageFct_

const ext::shared_ptr<LocalVolTermStructure> leverageFct_

private

Definition at line 79 of file hestonslvprocess.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ HestonSLVProcess()

Member Function Documentation

◆ size()

◆ factors()

◆ update()

◆ initialValues()

◆ apply()

◆ drift()

◆ diffusion()

◆ evolve()

◆ v0()

◆ rho()

◆ kappa()

◆ theta()

◆ sigma()

◆ mixingFactor()

◆ leverageFct()

◆ s0()

◆ dividendYield()

◆ riskFreeRate()

◆ time()

◆ setParameters()

Member Data Documentation

◆ kappa_

◆ theta_

◆ sigma_

◆ rho_

◆ v0_

◆ mixingFactor_

◆ mixedSigma_

◆ hestonProcess_

◆ leverageFct_