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qe_variance_step

Function qe_variance_step 

Source
pub fn qe_variance_step(hp: &HestonParams, v: f64, dt: f64, z_v: f64) -> f64
Expand description

One Andersen QE draw of the CIR variance transition v_{t+dt} | v_t = v from a standard normal z_v — the sampler matches the exact conditional mean and variance of the square-root process, switching between a squared-Gaussian and a mass-at-zero/exponential form. Public for consumers that step the variance leg on its own (the SLV engine pairs it with a leverage-adjusted spot step).