HestonSLVFDMParams: Class '"HestonSLVFDMParams"'

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

Description

Defines the parameter for a calibration of the Heston Stochastic Local Volatility model via the Fokker-Planck forward equation.

Objects from the Class

An object of this class defines the parameter for a calibration based on the Fokker-Planck equation via Finite Difference methods. Objects can be created by calls of the form new("HestonSLVFDMParams", ...) or HestonSLVFDMParams(...).

Slots

xGrid:

number of the grid points in spot direction

vGrid:

number of the grid points in variance direction

tMaxStepsPerYear:

maximum number of time steps per year

tMinStepsPerYear:

minimum number of time steps per year

tStepNumberDecay:

rate of decay for time steps per year

predictionCorrectionSteps:

number of prediction/correction steps

x0Density:

density factor at origin for mesher in spot direction

localVolEpsProb:

mesher stopping condition in spot direction

maxIntegrationIterations:

maximum number of integration steps

vLowerEps:

mesher stopping condition in variance direction for the lower bound

vUpperEps:

mesher stopping condition in variance direction for the upper bound

vMin:

lower bound for the mesher in variance direction

v0Density:

density factor for mesher in variance direction at the origin

vLowerBoundDensity:

density factor for mesher in variance direction at the lower bound

vUpperBoundDensity:

density factor for mesher in variance direction at the upper bound

leverageFctPropEps:

extrapolate leverage function if probability is below this value

greensAlgorithm:

algorithm for the approximation of the Greens function at t=0. (“ZeroCorrelation”, “Gaussian” or “SemiAnalytical”)

transformationType:

coordinate transformation in spot direction (“Plain”, “Power” or “Log”)

fdmSchemeType:

discretization scheme in time direction (“Hundsdorfer”, “ModifiedHundsdorfer”, “Douglas”, “CraigSneyd”, “ModifiedCraigSneyd”, “ImplicitEuler” or “ExplicitEuler”)

References

Johannes Goettker-Schnetmann, Klaus Spanderen http://hpc-quantlib.de/src/slv.pdf Calibrating the Heston Stochastic Local Volatility Model using the Fokker-Planck Equation

Examples

> params <- new ("HestonSLVFDMParams")
> params
HestonSLVFDMParams
  xGrid                    :  301
  vGrid                    :  601
  tMaxStepsPerYear         :  2000
  tMinStepsPerYear         :  30
  tStepNumberDecay         :  2
  predictionCorrectionSteps:  2
  x0Density                :  0.1
  localVolEpsProb          :  1e-04
  maxIntegrationIterations :  10000
  vLowerEps                :  1e-05
  vUpperEps                :  1e-05
  vMin                     :  2.5e-06
  v0Density                :  1
  vLowerBoundDensity       :  0.1
  vUpperBoundDensity       :  0.9
  leverageFctPropEps       :  1e-05
  greensAlgorithm          :  Gaussian
  transformationType       :  Log
  fdmSchemeType            :  ModifiedCraigSneyd

> params["fdmSchemeType"] <- "Hundsdorfer"
> params["localVolEpsProb"] <- 1e-6
> params["greensAlgorithm"] <- "ZeroCorrelation"
> params["greensAlgorithm"]
[1] "ZeroCorrelation"

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