C# Class Heston.HestonProcess

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

Mostra 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_oe property

Starting value for the stock process.

public IModelParameter S0
return	IModelParameter

V0 public_oe property

Starting value for the volatility process.

public IModelParameter V0
return	IModelParameter

k public_oe property

The speed of mean reversion of the process.

public IModelParameter k
return	IModelParameter

q public_oe property

The dividend yield rate of the stock.

public IModelParameter q
return	IModelParameter

r public_oe property

The risk free rate.

public IModelParameter r
return	IModelParameter

sigma public_oe property

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

public IModelParameter sigma
return	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
return	IModelParameter