Piecewise time dependent Heston model. More...
#include <ql/models/equity/piecewisetimedependenthestonmodel.hpp>
 Inheritance diagram for PiecewiseTimeDependentHestonModel:
 Inheritance diagram for PiecewiseTimeDependentHestonModel:| 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 | 
|  Public Member Functions inherited from CalibratedModel | |
| CalibratedModel (Size nArguments) | |
| void | update () | 
| virtual 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 >(), const std::vector< bool > &fixParameters=std::vector< bool >()) | 
| Calibrate to a set of market instruments (usually caps/swaptions)  More... | |
| Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) | 
| const boost::shared_ptr< Constraint > & | constraint () const | 
| EndCriteria::Type | endCriteria () const | 
| Returns end criteria result. | |
| const Array & | problemValues () const | 
| Returns the problem values. | |
| Disposable< Array > | params () const | 
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) | 
| Integer | functionEvaluation () const | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
|  Public Member Functions inherited from Observable | |
| 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_ | 
|  Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ | 
| boost::shared_ptr< Constraint > | constraint_ | 
| EndCriteria::Type | shortRateEndCriteria_ | 
| Array | problemValues_ | 
| Integer | functionEvaluation_ | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
|  Protected Member Functions inherited from CalibratedModel | |
| 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