C# Класс Heston.HestonProcess

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

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Открытые свойства

Свойство	Тип	Описание
S0	IModelParameter
V0	IModelParameter
k	IModelParameter
q	IModelParameter
r	IModelParameter
sigma	IModelParameter
theta	IModelParameter

Открытые методы

Метод	Описание
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.

Описание методов

DefaultInstance() публичный Метод

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
Результат	void

ExportObjects() публичный Метод

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

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

GetDeltaFactors() публичный Метод

Gets the factors for Delta Greek derivative.

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

GetVegaFactors() публичный Метод

Gets the factors for Vega Greek derivative.

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

HestonProcess() публичный Метод

Initializes a new instance of the HestonProcess class. This is the default constructor and sets all parameters to 0.0.

public HestonProcess ( ) : System
Результат	System

Parse() публичный Метод

Ensure the parameters are correct.

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

Populate() публичный Метод

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. ///
Результат	void

Setup() публичный Метод

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.
Результат	void

a() публичный Метод

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.
Результат	void

ab() публичный Метод

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

b() публичный Метод

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.
Результат	void

isLog() публичный Метод

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. ///
Результат	void

Описание свойств

S0 публичное свойство

Starting value for the stock process.

public IModelParameter S0
Результат	IModelParameter

V0 публичное свойство

Starting value for the volatility process.

public IModelParameter V0
Результат	IModelParameter

k публичное свойство

The speed of mean reversion of the process.

public IModelParameter k
Результат	IModelParameter

q публичное свойство

The dividend yield rate of the stock.

public IModelParameter q
Результат	IModelParameter

r публичное свойство

The risk free rate.

public IModelParameter r
Результат	IModelParameter

sigma публичное свойство

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

public IModelParameter sigma
Результат	IModelParameter

theta публичное свойство

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

public IModelParameter theta
Результат	IModelParameter