C# 클래스 HestonExtended.HestonExtendedProcess

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

파일 보기 프로젝트 열기: fairmat/EquityModels 1 사용 예제들

공개 프로퍼티들

프로퍼티	타입	설명
MuReference	IModelParameter
S0	IModelParameter
V0	IModelParameter
k	IModelParameter
sigma	IModelParameter
theta	IModelParameter

공개 메소드들

메소드	설명
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.

비공개 메소드들

메소드	설명
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

메소드 상세

DefaultInstance() 공개 메소드

Sets some default values for the parameters. * k = 2.5 * theta = 0.4 * sigma = 0.2 * S0 = 1 * V0 = 0.3.

public DefaultInstance ( ) : void
리턴	void

ExportObjects() 공개 메소드

Creates a list of all the sub-objects that can be edited.

public ExportObjects ( bool recursive ) : List
recursive	bool	/// The parameter is not used. ///
리턴	List

GetDeltaFactors() 공개 메소드

Gets the factors for Delta Greek derivative.

public GetDeltaFactors ( ) : IModelParameter[]
리턴	IModelParameter[]

GetVegaFactors() 공개 메소드

Gets the factors for Vega Greek derivative.

public GetVegaFactors ( ) : IModelParameter[]
리턴	IModelParameter[]

HestonExtendedProcess() 공개 메소드

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

public HestonExtendedProcess ( ) : System
리턴	System

Parse() 공개 메소드

Ensure the parameters are correct.

public Parse ( IProject p_Context ) : bool
p_Context	IProject	/// The underlying project. ///
리턴	bool

Populate() 공개 메소드

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. ///
리턴	void

SetCurveReference() 공개 메소드

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. ///
리턴	void

Setup() 공개 메소드

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. ///
리턴	void

ab() 공개 메소드

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

isLog() 공개 메소드

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. ///
리턴	void

프로퍼티 상세

MuReference 공개적으로 프로퍼티

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

public IModelParameter MuReference
리턴	IModelParameter

S0 공개적으로 프로퍼티

Starting value for the stock process.

public IModelParameter S0
리턴	IModelParameter

V0 공개적으로 프로퍼티

Starting value for the volatility process.

public IModelParameter V0
리턴	IModelParameter

k 공개적으로 프로퍼티

The speed of mean reversion of the process.

public IModelParameter k
리턴	IModelParameter

sigma 공개적으로 프로퍼티

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

public IModelParameter sigma
리턴	IModelParameter

theta 공개적으로 프로퍼티

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

public IModelParameter theta
리턴	IModelParameter