Uses of Record Class
com.quantfinlib.pricing.Heston.Params

Packages that use Heston.Params

Package	Description
com.quantfinlib.pricing	Option and derivatives pricing models, implied volatility and volatility surfaces.

Uses of Heston.Params in com.quantfinlib.pricing

Methods in com.quantfinlib.pricing that return Heston.Params

Modifier and Type	Method	Description
Heston.Params	HestonCalibrator.Result.params()	Returns the value of the params record component.

Methods in com.quantfinlib.pricing with parameters of type Heston.Params

Modifier and Type	Method	Description
static HestonCalibrator.Result	HestonCalibrator.calibrate(double spot, double rate, double divYield, double[] strikes, double[] maturities, double[] impliedVols, Heston.Params initial)	Calibrates with at most 200 iterations and tolerance 1e-12.
static HestonCalibrator.Result	HestonCalibrator.calibrate(double spot, double rate, double divYield, double[] strikes, double[] maturities, double[] impliedVols, Heston.Params initial, int maxIterations, double tolerance)	Calibrates to quotes (strikes[i], maturities[i], impliedVols[i]).
static double	Heston.call(double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p)	European call under Heston (semi-analytic).
static double	Heston.callMonteCarlo(double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p, int steps, int paths, long seed)	Full-truncation Euler Monte Carlo — the pricing cross-check (used by the tests to validate the semi-analytic integral, and usable for payoffs the closed form cannot reach).
static double	HestonCos.delta(BlackScholes.OptionType type, double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p)	Delta dV/dS from the expansion (analytic in x = ln(S/K)).
static double	HestonCos.gamma(double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p)	Gamma d2V/dS2 (same for calls and puts).
static double[]	HestonCos.parameterGradient(double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p)	Gradient of the price with respect to (kappa, theta, sigmaV, rho, v0), identical for calls and puts since parity does not involve the model.
static double	HestonCos.price(BlackScholes.OptionType type, double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p)	European price with the default number of terms and truncation.
static double	HestonCos.price(BlackScholes.OptionType type, double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p, int terms, double truncation)	European price.
static double	Heston.put(double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p)	European put via put-call parity.
static double	HestonCos.vegaV0(double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p)	Sensitivity to the initial variance, dV/dv0 (same for calls and puts).

Constructors in com.quantfinlib.pricing with parameters of type Heston.Params

Modifier	Constructor	Description
	Result(Heston.Params params, double impliedVolRmse, int iterations, boolean converged)	Creates an instance of a Result record class.