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 TimeGridtimeGrid () const
const Handle
< YieldTermStructure > & 
dividendYield () const
const Handle
< YieldTermStructure > & 
riskFreeRate () const

Protected Attributes

const Handle< Quotes0_
const Handle< YieldTermStructureriskFreeRate_
const Handle< YieldTermStructuredividendYield_
const TimeGrid timeGrid_

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