Options
All
  • Public
  • Public/Protected
  • All
Menu

Analytic engine for arbitrary European payoffs under the Heston model

References:

The formulas are taken from A. Dragulescu, V. Yakovenko, 2002. Probability distribution of returns in the Heston model with stochastic volatility. http://arxiv.org/pdf/cond-mat/0203046.pdf

test the correctness of the returned value is tested by reproducing digital prices using call spreads and the AnalyticHestonEngine.

Hierarchy

Implements

Index

Constructors

constructor

  • Parameters

    • model: HestonModel
    • Default value integrationEps: Real = 0.000001
    • Default value maxIntegrationIterations: Size = 10000

    Returns AnalyticPDFHestonEngine

Properties

_arguments

_arguments: Arguments

Private _integrationEps

_integrationEps: Real

_isDisposed

_isDisposed: boolean = false

Private _maxIntegrationIterations

_maxIntegrationIterations: Size

_model

Private _model1

_model1: HestonModel

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_results

_results: Results

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void
    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

Pv

  • Parameters

    Returns Real

calculate

  • calculate(): void

cdf

  • Parameters

    Returns Real

getArguments

getResults

init1

init2

reset

  • reset(): void

update

  • update(): void

Private weightedPayoff

  • Parameters

    Returns Real