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<!-- doxytag: class="QuantLib::HestonModel" --><!-- doxytag: inherits="QuantLib::CalibratedModel" -->
<p>Heston model for the stochastic volatility of an asset.
<a href="class_quant_lib_1_1_heston_model.html#details">More...</a></p>
<p><code>#include <ql/models/equity/hestonmodel.hpp></code></p>
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Inheritance diagram for HestonModel:</div>
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<area shape="rect" id="node5" href="class_quant_lib_1_1_bates_model.html" title="Bates stochastic-volatility model." alt="" coords="17,166,108,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_calibrated_model.html" title="Calibrated model class." alt="" coords="5,6,120,37"/></map>
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<p><a href="class_quant_lib_1_1_heston_model-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae97050524301ec4c399a197e447dbd4f"></a><!-- doxytag: member="QuantLib::HestonModel::HestonModel" ref="ae97050524301ec4c399a197e447dbd4f" 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" align="right" valign="top"><a class="anchor" id="a7a00901daf5bbc66f00e4772cbe0c98f"></a><!-- doxytag: member="QuantLib::HestonModel::theta" ref="a7a00901daf5bbc66f00e4772cbe0c98f" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>theta</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a925b952838ecbba1d743cab564c69dc9"></a><!-- doxytag: member="QuantLib::HestonModel::kappa" ref="a925b952838ecbba1d743cab564c69dc9" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>kappa</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a78bca11664a7d403bde6a9842f72ae61"></a><!-- doxytag: member="QuantLib::HestonModel::sigma" ref="a78bca11664a7d403bde6a9842f72ae61" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sigma</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9e74bed9ddc465f1211381d725c945bb"></a><!-- doxytag: member="QuantLib::HestonModel::rho" ref="a9e74bed9ddc465f1211381d725c945bb" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>rho</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a30fd40988a93faccca807dd016f8c5e3"></a><!-- doxytag: member="QuantLib::HestonModel::v0" ref="a30fd40988a93faccca807dd016f8c5e3" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>v0</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a57e932938bc12589eb93ad22a7402d2e"></a><!-- doxytag: member="QuantLib::HestonModel::process" ref="a57e932938bc12589eb93ad22a7402d2e" args="() const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_process.html">HestonProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4d8a7e8e132cf1dd8d1d9eac02f2bfae"></a><!-- doxytag: member="QuantLib::HestonModel::generateArguments" ref="a4d8a7e8e132cf1dd8d1d9eac02f2bfae" args="()" -->
void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
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Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a913c0bb126440b8eebb19cb20ed021a2"></a><!-- doxytag: member="QuantLib::HestonModel::process_" ref="a913c0bb126440b8eebb19cb20ed021a2" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_heston_process.html">HestonProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Heston model for the stochastic volatility of an asset. </p>
<p>References:</p>
<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" title="Base bond class.">Bond</a> and <a class="el" href="class_quant_lib_1_1_currency.html" title="Currency specification">Currency</a> Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.</p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000083">Tests:</a></b></dt><dd>calibration is tested against known good values. </dd></dl>
<dl><dt><b>Examples: </b></dt><dd><a class="el" href="_equity_option_8cpp-example.html#_a28">EquityOption.cpp</a>.</dd>
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