HestonLocalVolSurface: Class '"HestonLocalVolSurface"'

In klausspanderen/RHestonSLV: R Implementation of the Heston Stochastic Local Volatility Model

Description

Translates a Heston model into the corresponding local volatility surface with the same option prices.

Arguments

referenceDate	a date setting the reference date for the calculation
maxDate	a date setting the end date of the calculation
hestonProcess	an object of the class HestonProcess defining the Heston model

Objects from the Class

An instance of the class calculates the corresponding local volatility surface for a given the Heston model, which results in the same option prices. Objects can be created by calls of the form
new("HestonLocalVolSurface", referenceDate, maxDate, hestonProcess)

Examples

#Heston process with r=0.05, c=0.02, spot=100, v0=0.09, kappa=1, theta=0.06, sigma=0.4 and rho=-0.75
process <- HestonProcess(function(t,s) {0.05}, function(t,s) {0.02},
                         100, 0.09, 1.0, 0.06, 0.4, -0.75)

hestonLocalVol <- new(HestonLocalVolSurface, Sys.Date(),Sys.Date()+365, process)

s <- seq(50, 200, 1)
plot(s, sapply(s, function(spot) { hestonLocalVol$localVol(1.0, spot) }), type='l',
     ylab="Local Volatility", xlab="Spot", main="Local Volatility in One Year")
     

klausspanderen/RHestonSLV documentation built on Oct. 4, 2021, 11:10 a.m.