Class HestonParams

Hierarchy

HestonParams

Index

Constructors

constructor

Properties

Constructors

constructor

new HestonParams(v0: Real, kappa: Real, theta: Real, sigma: Real, rho: Real): HestonParams

- Defined in ql/experimental/finitedifferences/hestonrndcalculator.ts:106
Parameters
- v0: Real
- kappa: Real
- theta: Real
- sigma: Real
- rho: Real
Returns HestonParams

Properties

kappa

kappa: Real

rho

rho: Real

sigma

sigma: Real

theta

theta: Real

v0

v0: Real