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 > ÷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 |
Protected Attributes | |
const Handle< Quote > | s0_ |
const Handle< YieldTermStructure > | riskFreeRate_ |
const Handle< YieldTermStructure > | dividendYield_ |
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