C# Class HestonExtended.HestonExtendedProcess

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

ファイルを表示 Open project: fairmat/EquityModels Class Usage Examples

Public Properties

Property	Type	Description
MuReference	IModelParameter
S0	IModelParameter
V0	IModelParameter
k	IModelParameter
sigma	IModelParameter
theta	IModelParameter

Public Methods

Method	Description
DefaultInstance ( ) : void	Sets some default values for the parameters. * k = 2.5 * theta = 0.4 * sigma = 0.2 * S0 = 1 * 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.
HestonExtendedProcess ( ) : System	Initializes a new instance of the HestonExtendedProcess class. This is the default constructor setting all parameters to zero/empty.
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.
SetCurveReference ( string zrstring, string dystring ) : void	Associate the process to a zero rate and a dividend yield defined in the Fairmat model (e.g. @zr1).
Setup ( double simulationDates ) : void	Called by Simulator after parse. Initializes here time-dependant but not state dependent variables.
ab ( int i, double x, double a, double b ) : void
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.

Private Methods

Method	Description
InitOptionalFields ( ) : void	Initializes the zr and dy reference to empty values, in case they are not initialized.
OnDeserialized ( StreamingContext context ) : void
RetrieveCurve ( IProject p_Context, bool errors ) : bool	Retrieves zr and dy curve from the model.
a ( int i, double x, double a ) : void
b ( int i, double x, double b ) : void

Method Details

DefaultInstance() public method

Sets some default values for the parameters. * k = 2.5 * theta = 0.4 * sigma = 0.2 * S0 = 1 * 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[]

HestonExtendedProcess() public method

Initializes a new instance of the HestonExtendedProcess class. This is the default constructor setting all parameters to zero/empty.

public HestonExtendedProcess ( ) : 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 and rho. ///
return	void

SetCurveReference() public method

Associate the process to a zero rate and a dividend yield defined in the Fairmat model (e.g. @zr1).

public SetCurveReference ( string zrstring, string dystring ) : void
zrstring	string	/// The zero rate reference. ///
dystring	string	/// The dividend yield reference. ///
return	void

Setup() public method

Called by Simulator after parse. Initializes here time-dependant but not state dependent variables.

public Setup ( double simulationDates ) : void
simulationDates	double	/// The dates at which the process realizations will be requested. ///
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

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

MuReference public_oe property

Previously referenced the zr, now it's just kept for compatibility.

public IModelParameter MuReference
return	IModelParameter

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

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