public HybridHestonHullWhiteProcess(HestonProcess hestonProcess,
HullWhiteForwardProcess hullWhiteProcess,
double corrEquityShortRate,
Discretization discretization = Discretization.BSMHullWhite)
{
hestonProcess_ = hestonProcess;
hullWhiteProcess_ = hullWhiteProcess;
hullWhiteModel_ = new HullWhite(hestonProcess.riskFreeRate(),
hullWhiteProcess.a(),
hullWhiteProcess.sigma());
corrEquityShortRate_ = corrEquityShortRate;
disc_ = discretization;
maxRho_ = Math.Sqrt(1 - hestonProcess.rho() * hestonProcess.rho())
- Math.Sqrt(Const.QL_EPSILON) /* reserve for rounding errors */;
T_ = hullWhiteProcess.getForwardMeasureTime();
endDiscount_ = hestonProcess.riskFreeRate().link.discount(T_);
Utils.QL_REQUIRE(corrEquityShortRate * corrEquityShortRate
+ hestonProcess.rho() * hestonProcess.rho() <= 1.0, () =>
"correlation matrix is not positive definite");
Utils.QL_REQUIRE(hullWhiteProcess.sigma() > 0.0, () =>
"positive vol of Hull White process is required");
}
public HestonModel(HestonProcess process)
: base(5)
{
process_ = process;
arguments_[0] = new ConstantParameter(process.theta(), new PositiveConstraint());
arguments_[1] = new ConstantParameter(process.kappa(), new PositiveConstraint());
arguments_[2] = new ConstantParameter(process.sigma(), new PositiveConstraint());
arguments_[3] = new ConstantParameter(process.rho(), new BoundaryConstraint(-1.0, 1.0));
arguments_[4] = new ConstantParameter(process.v0(), new PositiveConstraint());
generateArguments();
process_.riskFreeRate().registerWith(update);
process_.dividendYield().registerWith(update);
process_.s0().registerWith(update);
}
public FdmHestonOp(FdmMesher mesher,
HestonProcess hestonProcess,
FdmQuantoHelper quantoHelper = null,
LocalVolTermStructure leverageFct = null)
{
correlationMap_ = new SecondOrderMixedDerivativeOp(0, 1, mesher)
.mult(hestonProcess.rho() * hestonProcess.sigma()
* mesher.locations(1));
dyMap_ = new FdmHestonVariancePart(mesher,
hestonProcess.riskFreeRate().currentLink(),
hestonProcess.sigma(),
hestonProcess.kappa(),
hestonProcess.theta());
dxMap_ = new FdmHestonEquityPart(mesher,
hestonProcess.riskFreeRate().currentLink(),
hestonProcess.dividendYield().currentLink(),
quantoHelper,
leverageFct);
}