HestonMarket

A Heston market: the vanilla spot / strike / rate plus the five model parameters. Every field is a differentiable input; a run hands back an HestonMarket of the same shape carrying the sensitivity to each.

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Record components

spot: double
strike: double
rate: double
v0: double
kappa: double
theta: double
xi: double
rho: double

Methods

HestonMarket validated()

static HestonMarket andersenCase1()

A commonly-cited test parameter set (Andersen 2008), r=0.

HestonMarket withSpot(double s)

HestonMarket withV0(double v)