Heston FD Model Class Parameters.
Parameters:
K |
the strike price. |
S |
the stock price. |
V |
volatility of stock. |
T |
time to maturity. |
kappa |
mean reversion rate. |
sig |
the volatility of volatility. |
rho |
the correlation coefficient between price and variance. |
eta |
long run average price. |
rd |
risk-free domestic interest rate. |
rf |
risk-free international interest rate. |
Get_K
double Get_K ()
get the strike price set
Get_S
double Get_S ()
get the stock price set
Get_V
double Get_V ()
get the volatility of stock set
Get_T
double Get_T ()
get the volatility of time to maturity set
Get_kappa
double Get_kappa ()
get the mean reversion rate set
Get_sig
double Get_sig ()
get the volatility of volatility set
Get_rho
double Get_rho ()
get the correlation coefficient between price and variance set
Get_eta
double Get_eta ()
get the long run average price set
Get_rd
double Get_rd ()
get the risk-free domestic interest rate set
Get_rf
double Get_rf ()
get the risk-free international interest rate set