class xf::fintech::HestonFDModelParameters¶
#include "xf_fintech_heston_model_parameters.hpp"
Overview¶
Methods¶
HestonFDModelParameters¶
HestonFDModelParameters ( double K, double S, double V, double T, double kappa, double sig, double rho, double eta, double rd, double rf )
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. |