Uses of Class
net.finmath.modelling.descriptor.HestonModelDescriptor
Package
Description
Classes related to the calibration of fourier models.
Provides classes to build models from descriptors.
Equity models implementing
ProcessModel
e.g.-
Uses of HestonModelDescriptor in net.finmath.fouriermethod.calibration.models
ModifierConstructorDescriptionCalibratableHestonModel
(HestonModelDescriptor descriptor) Basic constructor where all parameters are to be calibrated.CalibratableHestonModel
(HestonModelDescriptor descriptor, ScalarParameterInformation volatilityConstraint, ScalarParameterInformation thetaConstraint, ScalarParameterInformation kappaConstraint, ScalarParameterInformation xiConstraint, ScalarParameterInformation rhoConstraint, boolean applyFellerConstraint) This constructor allows for the specification of constraints. -
Uses of HestonModelDescriptor in net.finmath.modelling.modelfactory
Modifier and TypeMethodDescriptionHestonModelMonteCarloFactory.getModelFromDescriptor
(HestonModelDescriptor modelDescriptor) Modifier and TypeMethodDescriptionHestonModelMonteCarloFactory.getModelFromDescriptor
(HestonModelDescriptor modelDescriptor) -
Uses of HestonModelDescriptor in net.finmath.montecarlo.assetderivativevaluation.models
ModifierConstructorDescriptionHestonModel
(HestonModelDescriptor descriptor, HestonModel.Scheme scheme, RandomVariableFactory randomVariableFactory) Create the model from a descriptor.