Piecewise time dependent Heston model. More...
#include <ql/models/equity/piecewisetimedependenthestonmodel.hpp>
Public Member Functions | |
PiecewiseTimeDependentHestonModel (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, 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 |
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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 ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
const boost::shared_ptr < Constraint > & | constraint () const |
EndCriteria::Type | endCriteria () |
returns end criteria result | |
Disposable< Array > | params () const |
Returns array of arguments on which calibration is done. | |
virtual void | setParams (const Array ¶ms) |
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Observer (const Observer &) | |
Observer & | operator= (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 () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Attributes | |
const Handle< Quote > | s0_ |
const Handle< YieldTermStructure > | riskFreeRate_ |
const Handle< YieldTermStructure > | dividendYield_ |
const TimeGrid | timeGrid_ |
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std::vector< Parameter > | arguments_ |
boost::shared_ptr< Constraint > | constraint_ |
EndCriteria::Type | shortRateEndCriteria_ |
Additional Inherited Members | |
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virtual void | generateArguments () |
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