2.5.8. sdepy.heston_process¶
-
class
sdepy.
heston_process
(paths=1, vshape=(), dtype=None, steps=None, i0=0, info=None, getinfo=True, method='euler', x0=1., mu=0., sigma=1., y0=1., theta=1., k=1., xi=1., dw=None, corr=None, rho=None)[source]¶ Heston stochastic volatility process (stores and returns process only).
Generates a process as in
full_heston_process
(see its documentation), storing and returning thex(t)
component only.Parameters: - paths, vshape, dtype, steps, i0, info, getinfo, method
See
SDE
class documentation.- x0, mu, sigma, y0, theta, k, xi, dw, corr, rho
See
full_heston_process
class documentation.
Returns: - x : process
Once instantiated as
p
,p(timeline)
performs the integration along the given timeline, based on parameters of instantiation, and returns the resulting process.
See also
Attributes: - See SDE class documentation.
Methods
See SDE class documentation.