Description Objects from the Class Slots References Examples
Defines the parameter for a Monte-Carlo calibration of the Heston Stochastic Local Volatility Model.
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)
.
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
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
1 2 3 4 5 6 7 8 9 10 11 12 13 | > 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
|
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