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)

Heston stochastic volatility process (stores and returns process only).

Generates a process as in full_heston_process (see its documentation), storing and returning the x(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

full_heston_process

Attributes:

See SDE class documentation.

Methods

See SDE class documentation.