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PiecewiseTimeDependentHestonModel −

Piecewise time dependent Heston model.


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

Inherits CalibratedModel.

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_

Detailed Description

Piecewise time dependent Heston model.


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,


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