PiecewiseTimeDependentHestonModel Class Reference

Piecewise time dependent Heston model. More...

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

Inheritance diagram for PiecewiseTimeDependentHestonModel:

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 TimeGridtimeGrid () const
 
const Handle
< YieldTermStructure > & 
dividendYield () const
 
const Handle
< YieldTermStructure > & 
riskFreeRate () const
 
- Public Member Functions inherited from CalibratedModel
 CalibratedModel (Size nArguments)
 
void update ()
 
void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >())
 Calibrate to a set of market instruments (caps/swaptions)
 
Real value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)
 
const boost::shared_ptr
< Constraint > & 
constraint () const
 
EndCriteria::Type endCriteria ()
 returns end criteria result
 
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.
 
virtual void setParams (const Array &params)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Attributes

const Handle< Quotes0_
 
const Handle< YieldTermStructureriskFreeRate_
 
const Handle< YieldTermStructuredividendYield_
 
const TimeGrid timeGrid_
 
- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
boost::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_
 

Additional Inherited Members

- Protected Member Functions inherited from CalibratedModel
virtual void generateArguments ()
 

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