Heston
financepy.models.heston
Classes
Heston
Heston(v0: float, kappa: float, theta: float, xi: float, rho: float)
No description available.
Methods
value
value(self, stock_price, t_exp, strike, option_type, interest_rate, dividend_yield, method=<HestonValueTypes.LEWIS: 0>)
No description available.
call_value
call_value(self, stock_price, t_exp, strike, interest_rate, dividend_yield, method=<HestonValueTypes.LEWIS: 0>)
No description available.
value_mc
value_mc(self, stock_price: float, t_exp: float, strike: float, option_type: int, interest_rate: float, dividend_yield: float, num_paths: int, num_steps_per_year: int, seed: int, scheme=<HestonNumericalSchemeTypes.EULERLOG: 2>)
No description available.
value_call_lewis
value_call_lewis(self, t_exp: float, strike: float, stock_price: float, interest_rate: float, dividend_yield: float) -> float
No description available.
value_call_lewis_rouah
value_call_lewis_rouah(self, t_exp: float, strike: float, stock_price: float, interest_rate: float, dividend_yield: float) -> float
No description available.
value_call_weber
value_call_weber(self, t_exp: float, strike: float, stock_price: float, interest_rate: float, dividend_yield: float) -> float
No description available.
value_call_gatheral
value_call_gatheral(self, t_exp: float, strike: float, stock_price: float, interest_rate: float, dividend_yield: float) -> float
No description available.
feller_condition
feller_condition(self) -> bool
No description available.
implied_volatility
implied_volatility(self, stock_price, t_exp, strike, interest_rate, dividend_yield, method=<HestonValueTypes.LEWIS: 0>)
No description available.
volatility_smile
volatility_smile(self, t_exp, strikes, stock_price, interest_rate, dividend_yield, method=<HestonValueTypes.LEWIS: 0>)
No description available.
HestonValueTypes
HestonValueTypes(*values)
Inherits from: Enum
Create a collection of name/value pairs.
Example enumeration:
>>> class Color(Enum):
... RED = 1
... BLUE = 2
... GREEN = 3
Access them by:
- attribute access:
>>> Color.RED
<Color.RED: 1>
- value lookup:
>>> Color(1)
<Color.RED: 1>
- name lookup:
>>> Color['RED']
<Color.RED: 1>
Enumerations can be iterated over, and know how many members they have:
>>> len(Color)
3
>>> list(Color)
[<Color.RED: 1>, <Color.BLUE: 2>, <Color.GREEN: 3>]
Methods can be added to enumerations, and members can have their own
attributes -- see the documentation for details.
Generated automatically from the FinancePy source code.
Do not edit this file manually.