/src/main/java/net/finmath/fouriermethod/calibration/models/CalibratableHestonModel.java
return new CalibratableHestonModel( newDescriptor,volatilityInfo,kappaInfo,xiInfo,rhoInfo,applyFellerConstraint) ;
return new CalibratableHestonModel ( newDescriptor,volatilityInfo,thetaInfo,kappaInfo,xiInfo,rhoInfo,applyFellerConstraint ) ;
if(applyFellerConstraint && 2*kappa*theta < xi*xi) { theta = xi*xi / (2 * kappa) + 1E-9; } final HestonModelDescriptor newDescriptor = new HestonModelDescriptor(descriptor.getReferenceDate(), descriptor.getInitialValue(),descriptor.getDiscountCurveForForwardRate(), descriptor.getDiscountCurveForDiscountRate(), volatility, theta, kappa, xi, rho); <extra_id_0> } @Override public ModelDescriptor getModelDescriptor() { return descriptor; } @Override