C# Class Heston.HestonProcess

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

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

Méthodes publiques

Méthode 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 méthode

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
Résultat void

ExportObjects() public méthode

Creates a list of all the sub-objects that can be edited.
public ExportObjects ( bool recursive ) : List
recursive bool /// The parameter is not used. ///
Résultat List

GetDeltaFactors() public méthode

Gets the factors for Delta Greek derivative.
public GetDeltaFactors ( ) : IModelParameter[]
Résultat IModelParameter[]

GetVegaFactors() public méthode

Gets the factors for Vega Greek derivative.
public GetVegaFactors ( ) : IModelParameter[]
Résultat IModelParameter[]

HestonProcess() public méthode

Initializes a new instance of the HestonProcess class. This is the default constructor and sets all parameters to 0.0.
public HestonProcess ( ) : System
Résultat System

Parse() public méthode

Ensure the parameters are correct.
public Parse ( IProject p_Context ) : bool
p_Context IProject /// The underlying project. ///
Résultat bool

Populate() public méthode

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. ///
Résultat void

Setup() public méthode

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.
Résultat void

a() public méthode

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.
Résultat void

ab() public méthode

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

b() public méthode

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.
Résultat void

isLog() public méthode

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. ///
Résultat void

Property Details

S0 public_oe property

Starting value for the stock process.
public IModelParameter S0
Résultat IModelParameter

V0 public_oe property

Starting value for the volatility process.
public IModelParameter V0
Résultat IModelParameter

k public_oe property

The speed of mean reversion of the process.
public IModelParameter k
Résultat IModelParameter

q public_oe property

The dividend yield rate of the stock.
public IModelParameter q
Résultat IModelParameter

r public_oe property

The risk free rate.
public IModelParameter r
Résultat IModelParameter

sigma public_oe property

The "volatility of volatility" regulates the variance of the volatility process.
public IModelParameter sigma
Résultat IModelParameter

theta public_oe property

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