org.drip.pricer.option

Class HestonStochasticVolatilityAlgorithm

java.lang.Object

org.drip.pricer.option.FokkerPlanckGenerator

org.drip.pricer.option.HestonStochasticVolatilityAlgorithm

All Implemented Interfaces:

GenericPricer

public class HestonStochasticVolatilityAlgorithm
extends FokkerPlanckGenerator

HestonStochasticVolatilityAlgorithm implements the Heston 1993 Stochastic Volatility European Call and Put Options Pricer.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static int	PAYOFF_TRANSFORM_SCHEME_AMST_2007 Payoff Transformation Type - The Albrecher, Mayer, Schoutens, and Tistaert Scheme
static int	PAYOFF_TRANSFORM_SCHEME_HESTON_1993 Payoff Transformation Type - The Original Heston 1993 Scheme

Constructor Summary

Constructors

Constructor and Description
HestonStochasticVolatilityAlgorithm(HestonOptionPricerParams fphp) HestonStochasticVolatilityAlgorithm constructor

Method Summary

Modifier and Type	Method and Description
Greeks	greeks(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblInitialVolatility) Carry out a Sensitivity Run and generate the Pricing related measure set
double	payoff(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblInitialVolatility, boolean bAsPrice) Compute the Expected Payoff of the Option from the Inputs
java.util.Map<java.lang.Double,java.lang.Double>	recordPhase(double dblStrike, double dbTimeToExpiry, double dblRiskFreeRate, double dblSpot, double dblInitialVolatility, boolean bLeft) Record the Details of a Single Phase Adjustment Run

Methods inherited from class org.drip.pricer.option.FokkerPlanckGenerator

greeks, greeks, impliedBlackScholesVolatility, impliedVolatilityFromPrice, impliedVolatilityFromPrice, payoff, payoff

Methods inherited from class java.lang.Object

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

Field Detail

PAYOFF_TRANSFORM_SCHEME_HESTON_1993

public static final int PAYOFF_TRANSFORM_SCHEME_HESTON_1993

Payoff Transformation Type - The Original Heston 1993 Scheme

See Also:

Constant Field Values

PAYOFF_TRANSFORM_SCHEME_AMST_2007

public static final int PAYOFF_TRANSFORM_SCHEME_AMST_2007

Payoff Transformation Type - The Albrecher, Mayer, Schoutens, and Tistaert Scheme

See Also:

Constant Field Values

Constructor Detail

HestonStochasticVolatilityAlgorithm

public HestonStochasticVolatilityAlgorithm(HestonOptionPricerParams fphp)
                                    throws java.lang.Exception

HestonStochasticVolatilityAlgorithm constructor

Parameters:

fphp - The Heston Algorithm Parameters

Throws:

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

Method Detail

recordPhase

public java.util.Map<java.lang.Double,java.lang.Double> recordPhase(double dblStrike,
                                                                    double dbTimeToExpiry,
                                                                    double dblRiskFreeRate,
                                                                    double dblSpot,
                                                                    double dblInitialVolatility,
                                                                    boolean bLeft)

Record the Details of a Single Phase Adjustment Run

Parameters:

dblStrike - Strike

dbTimeToExpiry - TTE

dblRiskFreeRate - Risk Free Rate

dblSpot - Spot

dblInitialVolatility - Initial Volatility

bLeft - TRUE - Phase Correction applied to Left

Returns:

Map of the Phase Correction Record

payoff

public double payoff(double dblStrike,
                     double dblTimeToExpiry,
                     double dblRiskFreeRate,
                     double dblUnderlier,
                     boolean bIsPut,
                     boolean bIsForward,
                     double dblInitialVolatility,
                     boolean bAsPrice)
              throws java.lang.Exception

Description copied from class: FokkerPlanckGenerator

Compute the Expected Payoff of the Option from the Inputs

Specified by:

payoff in class FokkerPlanckGenerator

Parameters:

dblStrike - Option Strike

dblTimeToExpiry - Option Time To Expiry

dblRiskFreeRate - Option Risk Free Rate

dblUnderlier - Option Underlier Value

bIsPut - TRUE - The Option is a Put

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dblInitialVolatility - Option Initial Volatility Value

bAsPrice - TRUE - Return the Discounted Payoff

Returns:

The Expected Option Payoff

Throws:

java.lang.Exception - Thrown if the Expected Payoff cannot be calculated

greeks

public Greeks greeks(double dblStrike,
                     double dblTimeToExpiry,
                     double dblRiskFreeRate,
                     double dblUnderlier,
                     boolean bIsPut,
                     boolean bIsForward,
                     double dblInitialVolatility)

Description copied from class: FokkerPlanckGenerator

Carry out a Sensitivity Run and generate the Pricing related measure set

Specified by:

greeks in class FokkerPlanckGenerator

Parameters:

dblStrike - Option Strike

dblTimeToExpiry - Option Time To Expiry

dblRiskFreeRate - Option Risk Free Rate

dblUnderlier - Option Underlier Value

bIsPut - TRUE - The Option is a Put

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dblInitialVolatility - Option Initial Volatility Value

Returns:

The Greeks Sensitivities Output