Struct HestonParams 

pub struct HestonParams {
    pub v0: f64,
    pub kappa: f64,
    pub theta: f64,
    pub vol_of_vol: f64,
    pub rho: f64,
}

Heston parameters. theta is the long-run variance, v0 the initial variance, vol_of_vol the volatility of variance (often written xi or sigma), rho the spot-variance correlation.

Fields

v0: f64

kappa: f64

theta: f64

vol_of_vol: f64

rho: f64

Implementations

impl HestonParams

pub fn validate(&self) -> Result<(), RustyQLibError>

pub fn feller_condition_holds(&self) -> bool

Whether the Feller condition 2 kappa theta >= vol_of_vol^2 holds (if not, the variance process can touch zero; pricing still works).

pub fn with_vol_shift(&self, shift: f64) -> HestonParams

Parameters with a parallel shift applied to the instantaneous and long-run vol (used for vega bump-and-reprice).

Trait Implementations

impl Clone for HestonParams

fn clone(&self) -> HestonParams

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for HestonParams

impl Debug for HestonParams

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for HestonParams

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for HestonParams

fn eq(&self, other: &HestonParams) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl Serialize for HestonParams

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for HestonParams