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HestonModel

oxiphysics_core::stochastic_processes

Struct HestonModel 

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pub struct HestonModel {
    pub s0: f64,
    pub v0: f64,
    pub mu: f64,
    pub kappa: f64,
    pub theta: f64,
    pub xi: f64,
    pub rho: f64,
    /* private fields */
}
Expand description

Heston stochastic volatility model.

System of SDEs: dS = muSdt + sqrt(v)SdW_S dv = kappa*(theta - v)dt + xisqrt(v)*dW_v Corr(dW_S, dW_v) = rho

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§s0: f64

Initial asset price.

§v0: f64

Initial variance.

§mu: f64

Drift of asset.

§kappa: f64

Mean reversion speed of variance.

§theta: f64

Long-run variance.

§xi: f64

Vol of vol.

§rho: f64

Correlation between asset and variance Brownians.

Implementations§

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impl HestonModel

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pub fn new( s0: f64, v0: f64, mu: f64, kappa: f64, theta: f64, xi: f64, rho: f64, seed: u64, ) -> Self

Creates a new Heston model.

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pub fn path(&self, t_end: f64, n_steps: usize) -> (Vec<f64>, Vec<f64>)

Simulate correlated paths (S, v) using Euler-Maruyama.

Returns (price_path, variance_path) each of length n_steps + 1.

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