Class Heston

• Defined in File heston.hpp

Inheritance Relationships

Base Type

• public otyca::StochasticProcess (Class StochasticProcess)

Class Documentation

class Heston : public otyca::StochasticProcess

Public Functions

inline Heston()

inline Heston(double v0_, double kappa_, double theta_, double sigma_, double rho_)

inline virtual Heston *clone() const

virtual arma::cx_mat characteristic_function(const arma::cx_colvec &u, const arma::rowvec &t) const override

Computes the characteristic function.

Parameters:

• u – Complex-valued column vector of Fourier arguments.

• t – Row vector of time points.

Returns:

A characteristic function matrix where rows correspond to u and columns to t.

inline virtual std::vector<arma::cx_mat> characteristic_function_derivatives(const arma::cx_colvec &u, const arma::rowvec &t) const override

Computes the characteristic function’s derivatives to process parameters.

Parameters:

• u – Complex-valued column vector of Fourier arguments.

• t – Row vector of time points.

Returns:

A vector of characteristic function matrices with each matrix is the characteristic function’s derivatives to each process parameter

virtual std::vector<double> transformation_derivatives() const override

Get derivatives of the transformation with respect to the raw parameters.

Used for Jacobian computation during calibration.

Returns:

A vector of derivatives (default: all 1).

virtual void set_transformed_calibration_parameters(const std::vector<double>&)

set the transformed parameters for calibration.

Parameters:

transformed_calibration_parameters – the transformed calibration parameters

virtual std::vector<double> get_transformed_calibration_parameters() const

get the transformed parameters for calibration.

Returns:

the transformed parameters for calibration

inline virtual std::vector<double> get_parameters() const

Get the model’s raw parameters.

Returns:

A vector containing the model’s parameters.

inline virtual void set_parameters(const std::vector<double> &parameters)

Set the model’s raw parameters.

Parameters:

parameters – A vector of new parameter values.

virtual std::vector<double> get_transformed_calibration_parameter_variances() const

inline virtual std::string name() const

Get the model’s name.

Returns:

A string representing the name of the model.

inline virtual std::vector<std::string> get_parameter_names() const

Get the names of the model parameters.

Default implementation assigns names as “p1”, “p2”, etc.

Returns:

A vector of parameter names.