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.

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