Class FdmHestonGreensFct

Namespace

NanoQL.Methods

Assembly

NanoQL.dll

The Heston process's Green's function on a mesher of the log spot by the variance (or a transformation of it): the density at a short time from the spot and v₀, the start of a Fokker-Planck forward solve.

public sealed class FdmHestonGreensFct

Inheritance

object

FdmHestonGreensFct

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable. The curves are read on a clock, each at the instants its times denote: QuantLib reads the rates at the risk-free curve's times. The public constructor's clock is Clock(HestonProcess, FdmQuantoHelper?, LocalVolTermStructure?)'s, the risk-free curve itself where the dividend curve isn't dated before it, QuantLib's reads.

Constructors

FdmHestonGreensFct(FdmMesher, HestonProcess, FdmSquareRootFwdOpTransformationType, double)

Initializes a new instance of the FdmHestonGreensFct class.

public FdmHestonGreensFct(FdmMesher mesher, HestonProcess process, FdmSquareRootFwdOpTransformationType trafoType, double l0 = 1)

Parameters

mesher FdmMesher

The mesher: the log spot in direction 0, the variance or its transformation in direction 1.

process HestonProcess

The Heston process.

trafoType FdmSquareRootFwdOpTransformationType

The variable the density is written in, in the variance's direction.

l0 double

The leverage at the start, scaling the log spot's volatility.

Exceptions

ArgumentNullException

The mesher or the process is null.

ArgumentOutOfRangeException

The mesher has fewer than two directions, or trafoType isn't a member of its type, with QuantLib's message.

Methods

Get(double, FdmHestonGreensFctAlgorithm)

The density at a time on the mesher's points.

public Vector Get(double t, FdmHestonGreensFctAlgorithm algorithm)

Parameters

t double

The time, on the clock.

algorithm FdmHestonGreensFctAlgorithm

The approximation.

Returns

Vector

The density at each point of the mesher's layout, in the transformation's variable.

Exceptions

ArgumentOutOfRangeException

algorithm isn't a member of its type, with QuantLib's message.

ArgumentException

A curve can't be read at the time.

NanoQLException

The semi-analytical density's integration fails.