Module net.finmath.lib

Package net.finmath.modelling.descriptor

Class HestonModelDescriptor

java.lang.Object

net.finmath.modelling.descriptor.HestonModelDescriptor

All Implemented Interfaces:

AssetModelDescriptor, ModelDescriptor

public class HestonModelDescriptor
extends Object
implements AssetModelDescriptor

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
HestonModelDescriptor(LocalDate referenceDate, Double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, Double volatility, Double theta, Double kappa, Double xi, Double rho)

Method Summary

Modifier and Type	Method	Description
DiscountCurve	getDiscountCurveForDiscountRate()
DiscountCurve	getDiscountCurveForForwardRate()
Double	getInitialValue()
Double	getKappa()
LocalDate	getReferenceDate()
Double	getRho()
Double	getTheta()
Double	getVolatility()
Double	getXi()
String	name()	Return the name of the model represented by this descriptor.
Integer	version()	Return the version of the model description.

Methods inherited from class java.lang.Object

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

Constructor Detail

HestonModelDescriptor

public HestonModelDescriptor(LocalDate referenceDate,
                             Double initialValue,
                             DiscountCurve discountCurveForForwardRate,
                             DiscountCurve discountCurveForDiscountRate,
                             Double volatility,
                             Double theta,
                             Double kappa,
                             Double xi,
                             Double rho)

Method Detail

version

public Integer version()

Description copied from interface: ModelDescriptor

Return the version of the model description.

Specified by:

version in interface ModelDescriptor

Returns:

Version number.

name

public String name()

Description copied from interface: ModelDescriptor

Return the name of the model represented by this descriptor.

Specified by:

name in interface ModelDescriptor

Returns:

Name of the model.

getReferenceDate

public LocalDate getReferenceDate()

Returns:

the referenceDate

getInitialValue

public Double getInitialValue()

Returns:

the initialValue

getDiscountCurveForForwardRate

public DiscountCurve getDiscountCurveForForwardRate()

Returns:

the discountCurveForForwardRate

getDiscountCurveForDiscountRate

public DiscountCurve getDiscountCurveForDiscountRate()

Returns:

the discountCurveForDiscountRate

getVolatility

public Double getVolatility()

Returns:

the volatility

getTheta

public Double getTheta()

Returns:

the theta

getKappa

public Double getKappa()

Returns:

the kappa

getXi

public Double getXi()

Returns:

the xi

getRho

public Double getRho()

Returns:

the rho