Piecewise time dependent Heston model. More...

#include <piecewisetimedependenthestonmodel.hpp>

Inheritance diagram for PiecewiseTimeDependentHestonModel:

Collaboration diagram for PiecewiseTimeDependentHestonModel:

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, 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 () override

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...

Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)

const ext::shared_ptr< Constraint > &	constraint () const

EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...

const Array &	problemValues () const
	Returns the problem values. More...

Array	params () const
	Returns array of arguments on which calibration is done. More...

virtual void	setParams (const Array &params)

Integer	functionEvaluation () const

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~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	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

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_ = EndCriteria::None

Array	problemValues_

Integer	functionEvaluation_

Additional Inherited Members
Public Types inherited from Observer
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

Definition at line 44 of file piecewisetimedependenthestonmodel.hpp.

Constructor & Destructor Documentation

◆ PiecewiseTimeDependentHestonModel()

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,
		TimeGrid	timeGrid
	)