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• Heston
• HestonProcess

C# 클래스 Heston.HestonProcess

파일 보기 프로젝트 열기: fairmat/EquityModels 1 사용 예제들

공개 프로퍼티들

프로퍼티	타입	설명
S0	IModelParameter
V0	IModelParameter
k	IModelParameter
q	IModelParameter
r	IModelParameter
sigma	IModelParameter
theta	IModelParameter

공개 메소드들

메소드	설명
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.

메소드 상세

프로퍼티 상세