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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_heston_model.html">HestonModel</a></div>
<h1>HestonModel Class Reference</h1><!-- doxytag: class="QuantLib::HestonModel" --><!-- doxytag: inherits="QuantLib::CalibratedModel" --><code>#include <ql/ShortRateModels/TwoFactorModels/hestonmodel.hpp></code>
<p>
Inheritance diagram for HestonModel:<p><center><img src="class_quant_lib_1_1_heston_model__inherit__graph.png" border="0" usemap="#_heston_model__inherit__map" alt="Inheritance graph"></center>
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_heston_model-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Heston model for the stochastic volatility of an asset.
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References:<p>
Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to <a class="el" href="class_quant_lib_1_1_bond.html">Bond</a> and <a class="el" href="class_quant_lib_1_1_currency.html">Currency</a> Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.<p>
<dl compact><dt><b><a class="el" href="test.html#_test000116">Tests:</a></b></dt><dd>calibration is tested against known good values. </dd></dl>
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<table border="0" cellpadding="0" cellspacing="0">
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<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e97050524301ec4c399a197e447dbd4f"></a><!-- doxytag: member="QuantLib::HestonModel::HestonModel" ref="e97050524301ec4c399a197e447dbd4f" args="(const boost::shared_ptr< HestonProcess > &process)" -->
</td><td class="memItemRight" valign="bottom"><b>HestonModel</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_process.html">HestonProcess</a> > &process)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="211532127d83c15b17647a043e9efd36"></a><!-- doxytag: member="QuantLib::HestonModel::theta" ref="211532127d83c15b17647a043e9efd36" args="() const" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>theta</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d88e3ab524ca113ef0aed0c85918b1f2"></a><!-- doxytag: member="QuantLib::HestonModel::kappa" ref="d88e3ab524ca113ef0aed0c85918b1f2" args="() const" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>kappa</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3bf7456c7feee4fc5c40c1ea775619de"></a><!-- doxytag: member="QuantLib::HestonModel::sigma" ref="3bf7456c7feee4fc5c40c1ea775619de" args="() const" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sigma</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="891ea127047dcd9acc1dff3dbf26e88e"></a><!-- doxytag: member="QuantLib::HestonModel::rho" ref="891ea127047dcd9acc1dff3dbf26e88e" args="() const" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>rho</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8b9537c785da7b6872482fee29cfb731"></a><!-- doxytag: member="QuantLib::HestonModel::v0" ref="8b9537c785da7b6872482fee29cfb731" args="() const" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>v0</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a9e93f865f0b5ffac14e1a6dbaf1f197"></a><!-- doxytag: member="QuantLib::HestonModel::tree" ref="a9e93f865f0b5ffac14e1a6dbaf1f197" args="(const TimeGrid &) const" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_numerical_method.html">NumericalMethod</a> > </td><td class="memItemRight" valign="bottom"><b>tree</b> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &) const</td></tr>
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