PiecewiseTimeDependentHestonModel Class Reference

Piecewise time dependent Heston model. More...

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

Inheritance diagram for PiecewiseTimeDependentHestonModel:

List of all members.

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_

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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