HestonSLVMCParams: Class '"HestonSLVMCParams"'

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

Description

Defines the parameter for a Monte-Carlo calibration of the Heston Stochastic Local Volatility Model.

Objects from the Class

An instance of the class defines the numerical parameter for a Monte-Carlo calibration. Objects can be created by calls of the form new("HestonSLVFDMParams", ...) or
HestonSLVMCParams(qmc, timeStepsPerYear, nBins, calibrationPaths).

Slots

qmc:

logical, defines if Sobol Quasi Monte-Carlo numbers in conjunction with Brownian bridges should be used to draw the paths.

timeStepsPerYear:

number of time steps per year

nBins:

number of bins in ever time step

calibrationPaths:

number of Monte-Carlo paths to be used for the calibration

References

A.Stoep, L. Grzelak, C. Oosterlee, The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation, http://ta.twi.tudelft.nl/mf/users/oosterle/oosterlee/anton1.pdf

Examples

> params <- HestonSLVMCParams(TRUE, 90, 100, 32767)
> params
HestonSLVMCParams
  qmc             :  TRUE
  timeStepsPerYear:  90
  nBins           :  100
  calibrationPaths:  32767

> params["qmc"]
[1] TRUE
> params["nBins"] <- 200
> params["nBins"]
[1] 200

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