QuantLib::HestonProcess

HestonProcess Class Reference

#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

$\begin{array}{rcl} dS(t, S) &=& \mu S dt + \sqrt{v} S dW_1 \\ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\ dW_1 dW_2 &=& \rho dt \end{array}$

Public Member Functions

HestonProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, 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., $\mu(t, \mathrm{x}_t)$

Disposable< Matrix > diffusion (Time t, const Array &x) const

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

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 $\mathrm{x} + \Delta \mathrm{x}$ .
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.

QuantLib 0.3.11

Getting started

Reference manual

HestonProcess Class Reference

Detailed Description

Public Member Functions

Member Function Documentation