Class HestonRNDCalculator

Namespace

NanoQL.Methods

Assembly

NanoQL.dll

The risk-neutral terminal density of the Heston model in the log spot, x = ln S.

public sealed class HestonRNDCalculator : RiskNeutralDensityCalculator

Inheritance

object

RiskNeutralDensityCalculator

HestonRNDCalculator

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable. Its times are the risk-free curve's, the dividend curve read at the instant a time denotes on its own clock, as BSMRNDCalculator reads it, where QuantLib reads it at the risk-free curve's time; a dividend curve on the risk-free curve's day counter and reference date is read as QuantLib reads it. Where κt is below 1e-12 the density's κ is raised to 1e-12/t, the density moving by about κt relative there, below the tolerance, where QuantLib's integration throws "Interval contains no more machine number" from κ = 1e-16.

Reference: A. Dragulescu, V. Yakovenko, Probability distribution of returns in the Heston model with stochastic volatility, 2002, http://arxiv.org/pdf/cond-mat/0203046.pdf.

Constructors

HestonRNDCalculator(HestonProcess, double, int)

Initializes a new instance of the HestonRNDCalculator class.

public HestonRNDCalculator(HestonProcess hestonProcess, double integrationEps = 1E-06, int maxIntegrationIterations = 10000)

Parameters

hestonProcess HestonProcess

The Heston process.

integrationEps double

The integrations' accuracy.

maxIntegrationIterations int

The integrations' limit on iterations.

Exceptions

ArgumentNullException

hestonProcess is null.

Methods

Cdf(double, double)

The probability of a value below x.

public override double Cdf(double x, double t)

Parameters

x double

The asset's value.

t double

The time.

Returns

double

The cumulative probability.

InvCdf(double, double)

The value below which the probability is p.

public override double InvCdf(double p, double t)

Parameters

p double

The probability.

t double

The time.

Returns

double

The value.

Pdf(double, double)

The density at x.

public override double Pdf(double x, double t)

Parameters

x double

The asset's value.

t double

The time.

Returns

double

The density.