C# Class Heston.HestonCallSimulationOptimizationProblem

Calculates and minimize options prices differences by simulating Heston scenarios using Monte Carlo method.

Inheritance: HestonEstimator.HestonCallOptimizationProblem

Show file Open project: fairmat/EquityModels

Public Methods

Method	Description
HestonCallSimulationOptimizationProblem ( EquityCalibrationData equityCalData, Vector matBound, Vector strikeBound ) : System
Obj ( DVPLI x ) : double

Private Methods

Method	Description
CallPrice ( Vector paths, double strike, double maturity ) : double
NewRandomNumbers ( ) : void	Generates (antithetic)random numbers for both components
PositivePartMean ( Vector input ) : double
PutPrice ( Vector paths, double strike, double maturity ) : double
SimulateScenariosCallback ( Vector paths, double s0, double v0, double kappa, double theta, double sigma, double rho, double horizon, int sp, int ep ) : void
SimulateScenariosCallback ( object context ) : void
SimulateScenariosMT ( double s0, double v0, double kappa, double theta, double sigma, double rho, double horizon ) : Vector[]	Generate Underlying scenarios.
SmoothedPositivePartMean ( Vector input ) : double

Method Details

HestonCallSimulationOptimizationProblem() public method

public HestonCallSimulationOptimizationProblem ( EquityCalibrationData equityCalData, Vector matBound, Vector strikeBound ) : System
equityCalData	EquityCalibrationData
matBound	Vector
strikeBound	Vector
return	System

Obj() public method

public Obj ( DVPLI x ) : double
x	DVPLI
return	double