class xf::fintech::FDHeston¶
#include "xf_fintech_fd_heston.hpp"
Overview¶
This class implements the Finite Difference Heston Model.
It is intended that the user will populate the asset data when calling the run() method. A number of overriden methods have been provided that allow configuration of the number of steps and return of the Greeks.
class FDHeston: public xf::fintech::OCLController
Inherited Members¶
Methods¶
run¶
run overload (1)¶
int run ( double stockPrice, double strikePrice, double riskFreeRateDomestic, double volatility, double timeToMaturity, double meanReversionRate, double volatilityOfVolatility, double correlationCoefficient, double longRunAveragePrice, double* pOptionPrice )
Calculate a single option price with default number of steps.
Parameters:
| stockPrice | the stock price |
| strikePrice | the strike price |
| riskFreeRateDomestic | the risk free domestic interest rate |
| volatility | the volatility |
| timeToMaturity | the time to maturity |
| meanReversionRate | the mean reversion rate (kappa) |
| volatilityOfVolatility | the volatility of volatility (sigma) |
| correlationCoefficient | the correlation coefficient (rho) |
| longRunAveragePrice | the returned option price (eta) |
| pOptionPrice | the returned option price |
run overload (2)¶
int run ( double stockPrice, double strikePrice, double riskFreeRateDomestic, double volatility, double timeToMaturity, double meanReversionRate, double volatilityOfVolatility, double correlationCoefficient, double longRunAveragePrice, int numSteps, double* pOptionPrice )
Calculate a single option price with a configurable number of steps.
Parameters:
| stockPrice | the stock price |
| strikePrice | the strike price |
| riskFreeRateDomestic | the risk free domestic interest rate |
| volatility | the volatility |
| timeToMaturity | the time to maturity |
| meanReversionRate | the mean reversion rate (kappa) |
| volatilityOfVolatility | the volatility of volatility (sigma) |
| correlationCoefficient | the correlation coefficient (rho) |
| longRunAveragePrice | the returned option price (eta) |
| numSteps | the number of steps |
| pOptionPrice | the returned option price |
run overload (3)¶
int run ( double stockPrice, double strikePrice, double riskFreeRateDomestic, double volatility, double timeToMaturity, double meanReversionRate, double volatilityOfVolatility, double correlationCoefficient, double longRunAveragePrice, double* pOptionPrice, double* pDelta, double* pVega, double* pGamma, double* pVolga, double* pVanna )
Calculate a single option price with a default number of steps and return the greeks.
Parameters:
| stockPrice | the stock price |
| strikePrice | the strike price |
| riskFreeRateDomestic | the risk free domestic interest rate |
| volatility | the volatility |
| timeToMaturity | the time to maturity |
| meanReversionRate | the mean reversion rate (kappa) |
| volatilityOfVolatility | the volatility of volatility (sigma) |
| correlationCoefficient | the correlation coefficient (rho) |
| longRunAveragePrice | the returned option price (eta) |
| pOptionPrice | the returned option price |
| pDelta | the returned greek Delta |
| pVega | the returned greek Vega |
| pGamma | the returned greek Gamma |
| pVolga | the returned greek Volga |
| pVanna | the returned greek Vanna |
run overload (4)¶
int run ( double stockPrice, double strikePrice, double riskFreeRateDomestic, double volatility, double timeToMaturity, double meanReversionRate, double volatilityOfVolatility, double correlationCoefficient, double longRunAveragePrice, int numSteps, double* pOptionPrice, double* pDelta, double* pVega, double* pGamma, double* pVolga, double* pVanna )
Calculate a single option price with a configurable number of steps and return the greeks.
Parameters:
| stockPrice | the stock price |
| strikePrice | the strike price |
| riskFreeRateDomestic | the risk free domestic interest rate |
| volatility | the volatility |
| timeToMaturity | the time to maturity |
| meanReversionRate | the mean reversion rate (kappa) |
| volatilityOfVolatility | the volatility of volatility (sigma) |
| correlationCoefficient | the correlation coefficient (rho) |
| longRunAveragePrice | the returned option price (eta) |
| numSteps | the number of steps |
| pOptionPrice | the returned option price |
| pDelta | the returned greek Delta |
| pVega | the returned greek Vega |
| pGamma | the returned greek Gamma |
| pVolga | the returned greek Volga |
| pVanna | the returned greek Vanna |