heston

financepy.models.heston

Types

HestonValueTypes

No description available.

Members

LEWIS = 0

LEWIS_ROUAH = 1

GATHERAL = 2

WEBER = 3

Class

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.

Functions

integrate_heston_prob


integrate_heston_prob(
    integrand,
) -> float

Integrate a Heston P1 or P2 integrand over u in (0, inf) using the variable s = log(u), so that integrand(u) du = integrand(u) u ds. Returns the integral.

Generated automatically from the FinancePy source code. Do not edit this file manually.