Class CalibratableHestonModel

All Implemented Interfaces:

public class CalibratableHestonModel extends Object implements CalibratableProcess
This class is creates new instances of HestonModel and communicates with the optimization algorithm. This class provides clones of herself: in such a way the information concerning constraints is not lost. The method getCharacteristicFunction is then passed to the FFT pricing routine.
Alessandro Gnoatto
  • Constructor Details

    • CalibratableHestonModel

      public CalibratableHestonModel(HestonModelDescriptor descriptor)
      Basic constructor where all parameters are to be calibrated. All parameters are unconstrained.
      descriptor - The model descriptor for the Heston model.
    • CalibratableHestonModel

      public CalibratableHestonModel(HestonModelDescriptor descriptor, ScalarParameterInformation volatilityConstraint, ScalarParameterInformation thetaConstraint, ScalarParameterInformation kappaConstraint, ScalarParameterInformation xiConstraint, ScalarParameterInformation rhoConstraint, boolean applyFellerConstraint)
      This constructor allows for the specification of constraints. This is very liberal since we can impose different types of constraints. The choice on the parameters to be applied is left to the user. This implies that he user could create Heston models which are not admissible in the sense of Duffie Filipovic and Schachermayer (2003). For example, it is up to the user to impose constraints such that the product of kappa and theta is positive.
      descriptor - The model descriptor for the Heston model.
      volatilityConstraint - The volatility constraint.
      thetaConstraint - The constraint for the theta parameter.
      kappaConstraint - The constraint for the kappa parameter.
      xiConstraint - The constraint for the xi parameter.
      rhoConstraint - The constraint for the rho parameter.
      applyFellerConstraint - If true, the Feller constraint is applied.
  • Method Details