Class HestonModelFellerConstraint

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The Feller constraint on a Heston model's parameters, σ ≥ 0 and σ² < 2κθ, read from θ, κ and σ, the first three of HestonModel's: QuantLib's HestonModel::FellerConstraint.

public sealed class HestonModelFellerConstraint : Constraint

Inheritance

object

Constraint

HestonModelFellerConstraint

Inherited Members

Constraint.UpperBound(Vector)

Constraint.LowerBound(Vector)

Constraint.Update(Vector, Vector, double)

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Constructors

HestonModelFellerConstraint()

public HestonModelFellerConstraint()

Methods

Test(Vector)

Whether the parameters satisfy the constraint.

public override bool Test(Vector p)

Parameters

p Vector

The parameters.

Returns

bool

true when they do.

Exceptions

ArgumentException

The parameters are fewer than three, which QuantLib reads past.