Uses of Class
net.finmath.modelling.descriptor.HestonModelDescriptor
Packages that use 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
Constructors in net.finmath.fouriermethod.calibration.models with parameters of type HestonModelDescriptorModifierConstructorDescriptionCalibratableHestonModel
(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
Methods in net.finmath.modelling.modelfactory that return types with arguments of type HestonModelDescriptorModifier and TypeMethodDescriptionHestonModelMonteCarloFactory.getModelFromDescriptor
(HestonModelDescriptor modelDescriptor) Methods in net.finmath.modelling.modelfactory with parameters of type HestonModelDescriptorModifier and TypeMethodDescriptionHestonModelMonteCarloFactory.getModelFromDescriptor
(HestonModelDescriptor modelDescriptor) -
Uses of HestonModelDescriptor in net.finmath.montecarlo.assetderivativevaluation.models
Constructors in net.finmath.montecarlo.assetderivativevaluation.models with parameters of type HestonModelDescriptorModifierConstructorDescriptionHestonModel
(HestonModelDescriptor descriptor, HestonModel.Scheme scheme, RandomVariableFactory randomVariableFactory) Create the model from a descriptor.