Heston Closed Form (HCF)¶

class xf::fintech::hcf¶

#include "xf_fintech_hcf.hpp"

Overview¶

This class implements the Heston Closed Form Model.

It is intended that the user will populate the asset data structure before calling the run() method and one or more calculated options will be returned.

class hcf: public xf::fintech::OCLController

// structs

struct hcf_input_data

Inherited Members¶

Methods¶

run¶

int run (
    struct hcf_input_data* inputData,
    float* outputData,
    int numOptions
    )

Calculate one or more options based on the populated inputData structure.

Parameters:

inputData	structure to be populated with the asset data
outputData	one or more calculated option values returned
numOptions	number of options to be calculated

set_dw¶

void set_dw (int dw)

Set the intergation interval width delta w.

set_w_max¶

void set_w_max (float w_max)

Set the max value of w.

get_dw¶

int get_dw ()

Get the intergation interval width delta w.

get_w_max¶

float get_w_max ()

Set the max value of w.