quantfin-0.1.0.2: Quant finance library in pure Haskell.

Safe HaskellNone
LanguageHaskell2010

Quant.Models.Heston

Synopsis

Documentation

data Heston Source

Heston represents a Heston model (i.e. stochastic volatility).

Constructors

forall a b . (YieldCurve a, YieldCurve b) => Heston

YieldCurve to generate discounts

Fields

hestonInit :: Double

Initial asset level.

hestonV0 :: Double

Initial variance

hestonVF :: Double

Mean-reversion variance

hestonLambda :: Double

Vol-vol

hestonCorrel :: Double

Correlation between processes

hestonMeanRev :: Double

Mean reversion speed

hestonForwardGen :: a

YieldCurve to generate forwards

hestonDisc :: b
 

Instances