org.jquantlib.model.equity

Class HestonModel

java.lang.Object

org.jquantlib.model.CalibratedModel

org.jquantlib.model.equity.HestonModel

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

BatesDoubleExpModel, BatesModel

public class HestonModel
extends CalibratedModel

Implementation of the Heston Model, see http://en.wikipedia.org/wiki/Heston_model

Constructor Summary

Constructors

Constructor and Description
HestonModel(HestonProcess process)

Method Summary

Modifier and Type	Method and Description
void	generateArguments()
double	kappa()
double	rho()
double	sigma()
double	theta()
double	v0()

Methods inherited from class org.jquantlib.model.CalibratedModel

addObserver, calibrate, constraint, countObservers, deleteObserver, deleteObservers, endCriteria, getObservers, notifyObservers, notifyObservers, params, setParams, update, value

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

HestonModel

public HestonModel(HestonProcess process)

Method Detail

generateArguments

public void generateArguments()

theta

public double theta()

kappa

public double kappa()

sigma

public double sigma()

rho

public double rho()

v0

public double v0()