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

Packages that use Heston.Params
Package
Description
com.quantfinlib.pricing
Fair value and derivatives pricing: BlackScholes (Greeks with continuous carry — equities and Garman-Kohlhagen FX — plus implied vol), BinomialTree (CRR American/European), VolSurface (pillar smiles, total-variance term interpolation), SabrModel (Hagan 2002 + calibration), FairValueEngine (microprice and latency-adjusted true mid), TriangularArbitrage (executable FX round-trip edge), ForwardCurve (FX forwards with covered-interest-parity checks), the exotics (DigitalOption, TouchOption, BarrierOption, VannaVolga) and Autocallable (the flagship equity structured product: memory coupons, autocall observations, European knock-in — Monte Carlo with antithetic variates under documented GBM simplifications; RFQ market structure for trading it lives in rfq).

  • Uses of Heston.Params in com.quantfinlib.pricing

    Methods in com.quantfinlib.pricing with parameters of type Heston.Params
    Modifier and Type
    Method
    Description
    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
    Heston.put(double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p)
    European put via put-call parity.