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HestonModel

oxilean_std::stochastic_processes::types

Struct HestonModel 

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pub struct HestonModel {
    pub mu: f64,
    pub kappa: f64,
    pub theta: f64,
    pub xi: f64,
    pub rho: f64,
}
Expand description

The Heston stochastic volatility model: dS = μ S dt + √V S dW₁ dV = κ(θ - V) dt + ξ √V dW₂ with correlation corr(dW₁, dW₂) = ρ.

Uses Euler-Maruyama discretization.

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§mu: f64

Drift μ of the asset.

§kappa: f64

Mean reversion speed κ > 0.

§theta: f64

Long-run variance θ > 0.

§xi: f64

Vol-of-vol ξ > 0.

§rho: f64

Correlation ρ ∈ (-1, 1).

Implementations§

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impl HestonModel

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pub fn new(mu: f64, kappa: f64, theta: f64, xi: f64, rho: f64) -> Self

Create a new Heston model.

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pub fn simulate( &self, s0: f64, v0: f64, t_end: f64, n_steps: u32, seed: u64, ) -> Vec<(f64, f64, f64)>

Simulate (S_t, V_t) paths using Euler-Maruyama.

Returns Vec<(time, S_t, V_t)>.

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pub fn feller_condition_satisfied(&self) -> bool

Feller condition check: 2κθ > ξ² ensures V never hits 0.

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pub fn variance_long_run_mean(&self) -> f64

Long-run mean of the variance: θ.

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