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Piecewise time dependent Heston model

References:

Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.

A. Elices, Models with time-dependent parameters using transform methods: application to Heston’s model, http://arxiv.org/pdf/0708.2020

Hierarchy

Implements

Index

Constructors

constructor

Properties

_arguments

_arguments: Parameter[]

_constraint

_constraint: Constraint

Protected _dividendYield

_dividendYield: Handle<YieldTermStructure>

_functionEvaluation

_functionEvaluation: Integer

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_problemValues

_problemValues: Real[]

Protected _riskFreeRate

_riskFreeRate: Handle<YieldTermStructure>

Protected _s0

_shortRateEndCriteria

_shortRateEndCriteria: Type

Protected _timeGrid

_timeGrid: TimeGrid

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

calibrate1

  • Calibrate to a set of market instruments (usually caps/swaptions) An additional constraint can be passed which must be satisfied in addition to the constraints of the model.

    Parameters

    Returns void

calibrate2

cmInit

constraint

deepUpdate

  • deepUpdate(): void

dividendYield

endCriteria

  • endCriteria(): Type

functionEvaluation

generateArguments

  • generateArguments(): void

kappa

  • Parameters

    Returns Real

params

problemValues

  • problemValues(): Real[]

rho

  • Parameters

    Returns Real

riskFreeRate

s0

  • Returns Real

setParams

  • setParams(params: Real[]): void

sigma

  • Parameters

    Returns Real

theta

  • Parameters

    Returns Real

timeGrid

  • Returns TimeGrid

update

  • update(): void

v0

  • Returns Real

value1

value2