org.drip.param.pricer

Class HestonOptionPricerParams

java.lang.Object

org.drip.param.pricer.HestonOptionPricerParams

public class HestonOptionPricerParams
extends java.lang.Object

HestonOptionPricerParams holds the parameters that drive the dynamics of the Heston stochastic volatility model.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
HestonOptionPricerParams(int iPayoffTransformScheme, double dblRho, double dblKappa, double dblSigma, double dblTheta, double dblLambda, int iMultiValuePhaseTrackerType) HestonOptionPricerParams constructor

Method Summary

Modifier and Type	Method and Description
double	kappa() Retrieve Kappa
double	lambda() Retrieve Lambda
int	payoffTransformScheme() Return the Payoff Fourier Transformation Scheme
int	phaseTrackerType() Return the Multi Valued Principal Branch Maintaining Phase Tracker Type
double	rho() Retrieve Rho
double	sigma() Retrieve Sigma
double	theta() Retrieve Theta

Methods inherited from class java.lang.Object

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

Constructor Detail

HestonOptionPricerParams

public HestonOptionPricerParams(int iPayoffTransformScheme,
                                double dblRho,
                                double dblKappa,
                                double dblSigma,
                                double dblTheta,
                                double dblLambda,
                                int iMultiValuePhaseTrackerType)
                         throws java.lang.Exception

HestonOptionPricerParams constructor

Parameters:

iPayoffTransformScheme - The Payoff Transformation Scheme

dblRho - Rho

dblKappa - Kappa

dblSigma - Sigma

dblTheta - Theta

dblLambda - Lambda

iMultiValuePhaseTrackerType - The Multi Valued Phase Tracking Error Corrector

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

kappa

public double kappa()

Retrieve Kappa

Returns:

The Kappa

lambda

public double lambda()

Retrieve Lambda

Returns:

The Lambda

rho

public double rho()

Retrieve Rho

Returns:

The Rho

sigma

public double sigma()

Retrieve Sigma

Returns:

The Sigma

theta

public double theta()

Retrieve Theta

Returns:

The Theta

phaseTrackerType

public int phaseTrackerType()

Return the Multi Valued Principal Branch Maintaining Phase Tracker Type

Returns:

The Multi Valued Principal Branch Maintaining Phase Tracker Type

payoffTransformScheme

public int payoffTransformScheme()

Return the Payoff Fourier Transformation Scheme

Returns:

The Payoff Fourier Transformation Scheme