QuantLib_PiecewiseTimeDependentHestonModel man page

PiecewiseTimeDependentHestonModel — Piecewise time dependent Heston model.  

Synopsis

#include <ql/models/equity/piecewisetimedependenthestonmodel.hpp>

Inherits CalibratedModel.

Public Member Functions

PiecewiseTimeDependentHestonModel (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, const Handle< Quote > &s0, Real v0, const Parameter &theta, const Parameter &kappa, const Parameter &sigma, const Parameter &rho, const TimeGrid &timeGrid)
Real theta (Time t) const
Real kappa (Time t) const
Real sigma (Time t) const
Real rho (Time t) const
Real v0 () const
Real s0 () const
const TimeGrid & timeGrid () const
const Handle< YieldTermStructure > & dividendYield () const
const Handle< YieldTermStructure > & riskFreeRate () const

Protected Attributes

const Handle< Quote > s0_
const Handle< YieldTermStructure > riskFreeRate_
const Handle< YieldTermStructure > dividendYield_
const TimeGrid timeGrid_

Additional Inherited Members

Detailed Description

Piecewise time dependent Heston model.

References:

Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.

A. Elices, Models with time-dependent parameters using transform methods: application to Heston’s model, http://arxiv.org/pdf/0708.2020

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

dividendYield_(3), PiecewiseTimeDependentHestonModel(3) and s0_(3) are aliases of QuantLib_PiecewiseTimeDependentHestonModel(3).

Fri Jun 2 2017 Version 1.10 QuantLib