/usr/share/octave/packages/financial-0.5.0/heston.m is in octave-financial 0.5.0-1.
This file is owned by root:root, with mode 0o644.
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##
## This program is free software; you can redistribute it and/or modify it under
## the terms of the GNU Lesser General Public License as published by the Free
## Software Foundation; either version 3 of the License, or (at your option) any
## later version.
##
## This program is distributed in the hope that it will be useful, but WITHOUT
## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License
## for more details.
##
## You should have received a copy of the GNU Lesser General Public License
## along with this program; if not, see <http://www.gnu.org/licenses/>.
## -*- texinfo -*-
## @deftypefn {Function File} {@var{heston} =} heston (@var{Return}, @var{Speed}, @var{Level}, @var{Volatility})
## @deftypefnx {Function File} {@var{heston} =} heston (@var{Return}, @var{Speed}, @var{Level}, @var{Volatility}, @var{OptionName}, @var{OptionValue}, @dots{})
## Creates an object to represent a Heston stochastic volatility model:
##
## @center dX_1 = (@var{Return}(t) * X_1)dt + (sqrt (X_2) * X_1)dW_1;
## @center dX_2 = (@var{Speed}(t) * (@var{Level}(t) - X_2))dt + (sqrt (X_2) * @var{Volatility}(t))dW_2.
##
## See the @@sde documentation for a list of optional arguments.
##
## @seealso{sde}
## @end deftypefn
function heston = heston (Return, Speed, Level, Volatility, varargin)
if (nargin < 4)
print_usage ();
endif
if (isscalar (Return) && isreal (Return))
ReturnFunction = @(t, X) Return;
elseif (isa (Return, "function_handle") && nargin (Return) == 1)
ReturnFunction = @(t, X) Return (t);
elseif (isa (Return, "function_handle") && nargin (Return) == 2)
ReturnFunction = Return;
else
error ("heston: RETURN must either be a real scalar or a function of one or two arguments returning such a scalar");
endif
if (isscalar (Speed) && isreal (Speed))
SpeedFunction = @(t, X) Speed;
elseif (isa (Speed, "function_handle") && nargin (Speed) == 1)
SpeedFunction = @(t, X) Speed (t);
elseif (isa (Speed, "function_handle") && nargin (Speed) == 2)
SpeedFunction = Speed;
else
error ("heston: SPEED must either be a real scalar or a function of one or two arguments returning such a scalar");
endif
if (isscalar (Level) && isreal (Level))
LevelFunction = @(t, X) Level;
elseif (isa (Level, "function_handle") && nargin (Level) == 1)
LevelFunction = @(t, X) Level (t);
elseif (isa (Level, "function_handle") && nargin (Level) == 2)
LevelFunction = Level;
else
error ("heston: LEVEL must either be a real scalar or a function of one or two arguments returning such a scalar");
endif
if (isscalar (Volatility) && isreal (Volatility))
VolatilityFunction = @(t, X) Volatility;
elseif (isa (Volatility, "function_handle") && nargin (Volatility) == 1)
VolatilityFunction = @(t, X) Volatility (t);
elseif (isa (Volatility, "function_handle") && nargin (Volatility) == 2)
VolatilityFunction = Volatility;
else
error ("heston: VOLATILITY must either be a real scalar or a function of one or two arguments returning such a scalar");
endif
## TODO: Optimize
Drift = @(t, X) [ReturnFunction(t, X) * X(1); SpeedFunction(t, X) * (LevelFunction(t, X) - X(2))];
Diffusion = @(t, X) [sqrt(X(2)) * X(1) 0.;0. VolatilityFunction(t, X) * sqrt(X(2))];
heston = sde (Drift, Diffusion, varargin{:});
endfunction
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