QuantLib: PiecewiseTimeDependentHestonModel Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | Protected Attributes | List of all members
PiecewiseTimeDependentHestonModel Class Reference

Piecewise time dependent Heston model. More...

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

Inheritance diagram for PiecewiseTimeDependentHestonModel:
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## 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
Public Member Functions inherited from CalibratedModel
| CalibratedModel (Size nArguments)
void | update ()
virtual void | calibrate (const std::vector< ext::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...
virtual QL_DEPRECATED void | calibrate (const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &, 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 >())
Real | value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
QL_DEPRECATED Real | value (const Array &params, const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &)
const ext::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 &params)
Integer | functionEvaluation () const
Public Member Functions inherited from Observer
| Observer (const Observer &)
Observer & | operator= (const Observer &)
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &)
void | registerWithObservables (const ext::shared_ptr< Observer > &)
Size | unregisterWith (const ext::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_
ext::shared_ptr< Constraint > | constraint_
EndCriteria::Type | shortRateEndCriteria_
Array | problemValues_
Integer | functionEvaluation_

## Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type
typedef set_type::iterator | iterator
Protected Member Functions inherited from CalibratedModel
virtual void | generateArguments ()

## 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