C# 클래스 HestonEstimator.HestonCall

Handles the calculation of the call prices on a given Heston model instance.

상속: IIntegrable

파일 보기 프로젝트 열기: fairmat/EquityModels 1 사용 예제들

공개 메소드들

메소드	설명
HestonCall ( ) : System	Initializes a new instance of the HestonEstimator.HestonCall class.
HestonCallPrice ( Vector x, double s0, double T, double K, double r, double q ) : double	Calculates the Heston model call price. Note that this function is a wrapper for the other one which sets all the variables locally before calling it.
IntegrandFunc ( double u ) : double	Calculates value of the integrand function that appears in the Heston model call price formula.
IntegrandFunc ( double u, double kappa, double theta, double sigma, double rho, double s0, double v0, double rate, double dividend, double T, double K ) : double	Calculates value of the integrand function that appears in the Heston model call price formula.
Phi ( System.Complex u, double kappa, double theta, double sigma, double rho, double s0, double v0, double r, double T ) : System.Complex	Calculates the Heston characteristic function. The calculation does not follow the original paper by Heston but uses the form found in the paper Schoutens, W., Simons E. and Tistaert, J. (2004) A perfect calibration! Now what?, Wilmott Magazine, March 2005, 66–78. As stated in: Albrecher, H., Mayer, Ph., Schoutens, W and Tistaert, J. (2007) The Little Heston Trap. Wilmott Magazine, January Issue, 83-92. This form does not have the discontinuity issue that affects the form found in the original Heston paper.
PutIntegrandFunc ( double u ) : double

비공개 메소드들

메소드	설명
HestonCall ( HestonCallOptimizationProblem problem ) : System	Initializes a new instance of the HestonEstimator.HestonCall class.
HestonCall ( HestonCallOptimizationProblem problem, Vector x, double s0 ) : System	Initializes a new instance of the HestonEstimator.HestonCall class.
HestonCallPrice ( ) : double	Calculates the Heston model call price by using local variables. The indefinite integral present in the formula is performed with extremes [1E-8, 1000]. This choice seems to be sufficient to correctly estimate the indefinite integral.
HestonCallPutPrice ( ) : Vector	Jointly calculate a call and a put price.
HestonPutPrice ( ) : double	Calculates a put price using the Heston model
PerformIntegral ( double a, double b, TAEDelegateFunction1D f ) : double	Numerical integral in R+ assuming the integrand is exponential decaying.
Phi ( double u, double kappa, double theta, double sigma, double rho, double v0, double s0, double r, double T ) : System.Complex	Calculates Heston characteristic function with input u real.

메소드 상세

HestonCall() 공개 메소드

Initializes a new instance of the HestonEstimator.HestonCall class.

public HestonCall ( ) : System
리턴	System

HestonCallPrice() 공개 메소드

Calculates the Heston model call price.

Note that this function is a wrapper for the other one which sets all the variables locally before calling it.

public HestonCallPrice ( Vector x, double s0, double T, double K, double r, double q ) : double
x	Vector	Vector of Heston model parameters.
s0	double	Starting value for the stock process.
T	double	Maturity of the call option which price is to be calculated.
K	double	Strike of the call option which price is to be calculated.
r	double	Risk free rate.
q	double	Dividend yield.
리턴	double

IntegrandFunc() 공개 메소드

Calculates value of the integrand function that appears in the Heston model call price formula.

public IntegrandFunc ( double u ) : double
u	double	Value at which the integrand function is to be calculated.
리턴	double

IntegrandFunc() 공개 메소드

Calculates value of the integrand function that appears in the Heston model call price formula.

public IntegrandFunc ( double u, double kappa, double theta, double sigma, double rho, double s0, double v0, double rate, double dividend, double T, double K ) : double
u	double	Value at which the integrand function is to be calculated.
kappa	double	Heston volatility mean reversion speed parameter.
theta	double	Heston volatility mean reversion level parameter.
sigma	double	Heston volatility of volatility parameter.
rho	double	/// Correlation between the two Wiener processes in the Heston dynamics. ///
s0	double	Starting value for the stock process.
v0	double	Starting value for the volatility process.
rate	double	Risk free rate.
dividend	double	Dividend yield.
T	double	Maturity of the call option which price is to be calculated.
K	double	Strike of the call option which price is to be calculated.
리턴	double

Phi() 공개 메소드

Calculates the Heston characteristic function.

The calculation does not follow the original paper by Heston but uses the form found in the paper
Schoutens, W., Simons E. and Tistaert, J. (2004) A perfect calibration! Now what?, Wilmott Magazine, March 2005, 66–78.
As stated in: Albrecher, H., Mayer, Ph., Schoutens, W and Tistaert, J. (2007) The Little Heston Trap. Wilmott Magazine, January Issue, 83-92.
This form does not have the discontinuity issue that affects the form found in the original Heston paper.

public Phi ( System.Complex u, double kappa, double theta, double sigma, double rho, double s0, double v0, double r, double T ) : System.Complex
u	System.Complex	/// Complex value at which the characteristic function is to be calculated. ///
kappa	double	Heston volatility mean reversion speed parameter.
theta	double	Heston volatility mean reversion level parameter.
sigma	double	Heston volatility of volatility parameter.
rho	double	/// Correlation between the two Wiener processes in the Heston dynamics. ///
s0	double	Starting value for the stock process.
v0	double	Starting value for the volatility process.
r	double	Risk free rate.
T	double	Time at which the characteristic function is to be calculated.
리턴	System.Complex

PutIntegrandFunc() 공개 메소드

public PutIntegrandFunc ( double u ) : double
u	double
리턴	double