HestonModel Class Reference

Heston model for the stochastic volatility of an asset. More...

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

Inheritance diagram for HestonModel:

Public Member Functions
	HestonModel (const ext::shared_ptr< HestonProcess > &process)
Real	theta () const
Real	kappa () const
Real	sigma () const
Real	rho () const
Real	v0 () const
ext::shared_ptr< HestonProcess >	process () 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 Member Functions
void	generateArguments ()

Protected Attributes
ext::shared_ptr< HestonProcess >	process_
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

Detailed Description

Heston model for the stochastic volatility of an asset.

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.

Tests:

calibration is tested against known good values.

Examples

EquityOption.cpp.