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.

Module = Product Core Module
Library = Fixed Income Analytics
Project = Product Cash Flow, Valuation, Market, Pricing, and Quoting Parameters
Package = Pricing Parameters Customization Settings Control

Author:: Lakshmi Krishnamurthy

Constructor Summary

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

Method Summary

Modifier and Type	Method	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 Details
- 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 Details
- 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