quantlib.processes.heston_process.

HestonProcess

class HestonProcess(HandleYieldTermStructure risk_free_rate_ts=HandleYieldTermStructure(), HandleYieldTermStructure dividend_ts=HandleYieldTermStructure(), Quote s0=SimpleQuote(), Real v0=0, Real kappa=0, Real theta=0, Real sigma=0, Real rho=0, Discretization d=PartialTruncation)

Bases: StochasticProcess

Heston process: a diffusion process with mean-reverting stochastic variance.

dS_t =& (r-d) S_t dt + \sqrt{V_t} S_t dW/^s_t \\ dV_t =& \kappa (\theta - V_t) dt + \varepsilon \sqrt{V_t} dW^\upsilon_t \\ dW^s_t dW^\upsilon_t =& \rho dt

Attributes:
kappa
rho
s0
sigma
theta
v0

Methods

factors(self)

size(self)