Enum HestonScheme 

pub enum HestonScheme {
    FullTruncation,
    QuadraticExponential,
}

Heston-specific stepping schemes — model-owned, because good variance stepping is genuinely model-specific and no generic Euler/Milstein switch covers it (the QuantLib / TF Quant Finance pattern).

Variants

FullTruncation

Euler with the variance floored at zero inside the coefficients while the state keeps its (possibly negative) excursion; log-Euler spot stepping. Simple, O(dt) biased.

QuadraticExponential

Andersen (2008) Quadratic-Exponential with martingale correction (QE-M): the variance transition is moment-matched to the exact non-central chi-squared law — a squared Gaussian where the distribution is peaked (psi <= 1.5), a mass-at-zero / exponential-tail mixture where it is not — and the spot step’s constant is chosen so E[S_{t+dt} | S_t, v_t] is exact. Near bias-free even with coarse time grids.

Trait Implementations

impl Clone for HestonScheme

fn clone(&self) -> HestonScheme

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for HestonScheme

impl Debug for HestonScheme

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

Formats the value using the given formatter.

impl Eq for HestonScheme

impl PartialEq for HestonScheme

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

Equality operator ==.

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

Inequality operator !=.

impl StructuralPartialEq for HestonScheme