C# Class Heston.HestonProcess

Inheritance: IExtensibleProcess, IMarkovSimulator, IParsable, IGreeksDerivativesInfo, IEstimationResultPopulable, IOpenCLCode, IExportableContainer

Show file Open project: fairmat/EquityModels Class Usage Examples

Public Properties

Property	Type	Description
S0	IModelParameter
V0	IModelParameter
k	IModelParameter
q	IModelParameter
r	IModelParameter
sigma	IModelParameter
theta	IModelParameter

Public Methods

Method	Description
DefaultInstance ( ) : void	Sets some default values for the parameters. * r = 0.05 * q = 0.03 * k = 2.5 theta = 0.4 sigma = 0.2 S0 = 100 V0 = 0.3.
ExportObjects ( bool recursive ) : List	Creates a list of all the sub-objects that can be edited.
GetDeltaFactors ( ) : IModelParameter[]	Gets the factors for Delta Greek derivative.
GetVegaFactors ( ) : IModelParameter[]	Gets the factors for Vega Greek derivative.
HestonProcess ( ) : System	Initializes a new instance of the HestonProcess class. This is the default constructor and sets all parameters to 0.0.
Parse ( IProject p_Context ) : bool	Ensure the parameters are correct.
Populate ( IStochasticProcess stocProcess, EstimationResult estimate ) : void	Populate editable fields from name and value vectors specific to the Heston extended process.
Setup ( double simulationDates ) : void	Called by Simulator after parse. The method implements only an interface requisite but does nothing.
a ( int i, double x, double a ) : void	This function defines the drift in the Heston Markov process. Heston operates on two dimensions.
ab ( int i, double x, double a, double b ) : void
b ( int i, double x, double b ) : void	This function defines the volatility in the Heston Markov process. Heston operates on two dimensions.
isLog ( bool &isLog ) : void	Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process. Here the first component must be simulated as a log-normal process the second not.

Method Details

DefaultInstance() public method

Sets some default values for the parameters. * r = 0.05 * q = 0.03 * k = 2.5 theta = 0.4 sigma = 0.2 S0 = 100 V0 = 0.3.

public DefaultInstance ( ) : void
return	void

ExportObjects() public method

Creates a list of all the sub-objects that can be edited.

public ExportObjects ( bool recursive ) : List
recursive	bool	/// The parameter is not used. ///
return	List

GetDeltaFactors() public method

Gets the factors for Delta Greek derivative.

public GetDeltaFactors ( ) : IModelParameter[]
return	IModelParameter[]

GetVegaFactors() public method

Gets the factors for Vega Greek derivative.

public GetVegaFactors ( ) : IModelParameter[]
return	IModelParameter[]

HestonProcess() public method

Initializes a new instance of the HestonProcess class. This is the default constructor and sets all parameters to 0.0.

public HestonProcess ( ) : System
return	System

Parse() public method

Ensure the parameters are correct.

public Parse ( IProject p_Context ) : bool
p_Context	IProject	/// The underlying project. ///
return	bool

Populate() public method

Populate editable fields from name and value vectors specific to the Heston extended process.

public Populate ( IStochasticProcess stocProcess, EstimationResult estimate ) : void
stocProcess	IStochasticProcess	/// The stochastic process which is being referenced to. ///
estimate	EstimationResult	/// The estimation result which contains values and names of parameters. /// It will be searched for S0, kappa, theta, sigma, V0, r, q and rho. ///
return	void

Setup() public method

Called by Simulator after parse. The method implements only an interface requisite but does nothing.

public Setup ( double simulationDates ) : void
simulationDates	double	The parameter is not used.
return	void

a() public method

This function defines the drift in the Heston Markov process.

Heston operates on two dimensions.

public a ( int i, double x, double a ) : void
i	int	The time step of the simulation.
x	double	The state vector at the previous state.
a	double	The output of the function.
return	void

ab() public method

public ab ( int i, double x, double a, double b ) : void
i	int
x	double
a	double
b	double
return	void

b() public method

This function defines the volatility in the Heston Markov process.

Heston operates on two dimensions.

public b ( int i, double x, double b ) : void
i	int	The parameter is not used.
x	double	The state vector at the previous state.
b	double	The output of the function.
return	void

isLog() public method

Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process. Here the first component must be simulated as a log-normal process the second not.

public isLog ( bool &isLog ) : void
isLog	bool	/// A reference to the array to be set with the required information. ///
return	void

Property Details

S0 public property

Starting value for the stock process.

public IModelParameter S0
return	IModelParameter

V0 public property

Starting value for the volatility process.

public IModelParameter V0
return	IModelParameter

k public property

The speed of mean reversion of the process.

public IModelParameter k
return	IModelParameter

q public property

The dividend yield rate of the stock.

public IModelParameter q
return	IModelParameter

r public property

The risk free rate.

public IModelParameter r
return	IModelParameter

sigma public property

The "volatility of volatility" regulates the variance of the volatility process.

public IModelParameter sigma
return	IModelParameter

theta public property

The mean reversion level of the process. The volatility process will reach this value as time goes to infinity.

public IModelParameter theta
return	IModelParameter