org.jquantlib.processes

Class HestonProcess

java.lang.Object

org.jquantlib.processes.StochasticProcess

org.jquantlib.processes.HestonProcess

All Implemented Interfaces:

Observable, Observer

public class HestonProcess
extends StochasticProcess

Constructor Summary

Constructors

Constructor and Description
HestonProcess(Handle<YieldTermStructure> riskFreeRate, Handle<YieldTermStructure> dividendYield, Handle<Quote> s0, double v0, double kappa, double theta, double sigma, double rho)
HestonProcess(Handle<YieldTermStructure> riskFreeRate, Handle<YieldTermStructure> dividendYield, Handle<Quote> s0, double v0, double kappa, double theta, double sigma, double rho, org.jquantlib.processes.HestonProcess.Discretization d)

Method Summary

Modifier and Type	Method and Description
Array	apply(Array x0, Array dx) Applies a change to the asset value.
Matrix	diffusion(double time, Array x) Returns the diffusion part of the equation, i.e.
Handle<YieldTermStructure>	dividendYield()
Array	drift(double t, Array x) Returns the drift part of the equation, i.e.,
Array	evolve(double t0, Array x0, double dt, Array dw) Returns the asset value after a time interval according to the given discretization.
Array	initialValues() Returns the initial values of the state variables
RelinkableHandle<Quote>	kappa()
RelinkableHandle<Quote>	rho()
Handle<YieldTermStructure>	riskFreeRate()
Handle<Quote>	s0()
RelinkableHandle<Quote>	sigma()
int	size() Returns the number of dimensions of the stochastic process
RelinkableHandle<Quote>	theta()
double	time(Date d) Returns the time value corresponding to the given date in the reference system of the stochastic process.
void	update() This method is called whenever the observed object is changed.
RelinkableHandle<Quote>	v0()

Methods inherited from class org.jquantlib.processes.StochasticProcess

addObserver, countObservers, covariance, deleteObserver, deleteObservers, expectation, factors, getObservers, notifyObservers, notifyObservers, stdDeviation

Methods inherited from class java.lang.Object

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

Constructor Detail

HestonProcess

public HestonProcess(Handle<YieldTermStructure> riskFreeRate,
                     Handle<YieldTermStructure> dividendYield,
                     Handle<Quote> s0,
                     double v0,
                     double kappa,
                     double theta,
                     double sigma,
                     double rho)

HestonProcess

public HestonProcess(Handle<YieldTermStructure> riskFreeRate,
                     Handle<YieldTermStructure> dividendYield,
                     Handle<Quote> s0,
                     double v0,
                     double kappa,
                     double theta,
                     double sigma,
                     double rho,
                     org.jquantlib.processes.HestonProcess.Discretization d)

Method Detail

update

public void update()

Description copied from interface: Observer

This method is called whenever the observed object is changed.

Specified by:

update in interface Observer

Overrides:

update in class StochasticProcess

v0

public final RelinkableHandle<Quote> v0()

rho

public final RelinkableHandle<Quote> rho()

kappa

public final RelinkableHandle<Quote> kappa()

theta

public final RelinkableHandle<Quote> theta()

sigma

public final RelinkableHandle<Quote> sigma()

s0

public final Handle<Quote> s0()

dividendYield

public final Handle<YieldTermStructure> dividendYield()

riskFreeRate

public Handle<YieldTermStructure> riskFreeRate()

initialValues

public Array initialValues()

Description copied from class: StochasticProcess

Returns the initial values of the state variables

Specified by:

initialValues in class StochasticProcess

size

public int size()

Description copied from class: StochasticProcess

Returns the number of dimensions of the stochastic process

Specified by:

size in class StochasticProcess

time

public final double time(Date d)

Description copied from class: StochasticProcess

Returns the time value corresponding to the given date in the reference system of the stochastic process.

Overrides:

time in class StochasticProcess

drift

public Array drift(double t,
                   Array x)

Description copied from class: StochasticProcess

Returns the drift part of the equation, i.e.,

Specified by:

drift in class StochasticProcess

diffusion

public Matrix diffusion(double time,
                        Array x)

Description copied from class: StochasticProcess

Returns the diffusion part of the equation, i.e.

Specified by:

diffusion in class StochasticProcess

apply

public Array apply(Array x0,
                   Array dx)

Description copied from class: StochasticProcess

Applies a change to the asset value.

Overrides:

apply in class StochasticProcess

evolve

public Array evolve(double t0,
                    Array x0,
                    double dt,
                    Array dw)

Description copied from class: StochasticProcess

Returns the asset value after a time interval according to the given discretization. By default, it returns where is the expectation and the standard deviation.

Overrides:

evolve in class StochasticProcess