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<!-- doxytag: class="QuantLib::PiecewiseTimeDependentHestonModel" --><!-- doxytag: inherits="QuantLib::CalibratedModel" -->
<p>Piecewise time dependent Heston model.
<a href="class_quant_lib_1_1_piecewise_time_dependent_heston_model.html#details">More...</a></p>
<p><code>#include <ql/models/equity/piecewisetimedependenthestonmodel.hpp></code></p>
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Inheritance diagram for PiecewiseTimeDependentHestonModel:</div>
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<p><a href="class_quant_lib_1_1_piecewise_time_dependent_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="a51af1b4e0d1b37952eab732e7b690a0a"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::PiecewiseTimeDependentHestonModel" ref="a51af1b4e0d1b37952eab732e7b690a0a" args="(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)" -->
 </td><td class="memItemRight" valign="bottom"><b>PiecewiseTimeDependentHestonModel</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &riskFreeRate, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &dividendYield, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &s0, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> v0, const <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> &theta, const <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> &kappa, const <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> &sigma, const <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> &rho, const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0ee6c03f0d68bbbd8bb4e988312fc9a0"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::theta" ref="a0ee6c03f0d68bbbd8bb4e988312fc9a0" args="(Time t) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>theta</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a437f480c0f45ca8076b5a74e6642a2ff"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::kappa" ref="a437f480c0f45ca8076b5a74e6642a2ff" args="(Time t) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>kappa</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af55b8485350f45784539408174aa508a"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::sigma" ref="af55b8485350f45784539408174aa508a" args="(Time t) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sigma</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad84f33ce638b8fc7b86421a15ce05edf"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::rho" ref="ad84f33ce638b8fc7b86421a15ce05edf" args="(Time t) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>rho</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a30fd40988a93faccca807dd016f8c5e3"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::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="a67692879821e11afc2695472d9dba61c"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::s0" ref="a67692879821e11afc2695472d9dba61c" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>s0</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6f56adbf4be442b2ca611a3840ba6c50"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::timeGrid" ref="a6f56adbf4be442b2ca611a3840ba6c50" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> & </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad410a408dd37b79578b370b5219dbf80"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::dividendYield" ref="ad410a408dd37b79578b370b5219dbf80" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a><br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td><td class="memItemRight" valign="bottom"><b>dividendYield</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a925fdf9de4dd73519b36f975bc7917a8"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::riskFreeRate" ref="a925fdf9de4dd73519b36f975bc7917a8" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a><br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td><td class="memItemRight" valign="bottom"><b>riskFreeRate</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abfa6bbfcd66fddbf5f3f847d603c3f5a"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::s0_" ref="abfa6bbfcd66fddbf5f3f847d603c3f5a" args="" -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > </td><td class="memItemRight" valign="bottom"><b>s0_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af953edebcd8fa53ee70731a140c71f81"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::riskFreeRate_" ref="af953edebcd8fa53ee70731a140c71f81" args="" -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>riskFreeRate_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a886cfcabead9ec05ca05dd35de3bfa5b"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::dividendYield_" ref="a886cfcabead9ec05ca05dd35de3bfa5b" args="" -->
const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>dividendYield_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5bdb90eaad097f4f9b163d1b5c9e5b48"></a><!-- doxytag: member="QuantLib::PiecewiseTimeDependentHestonModel::timeGrid_" ref="a5bdb90eaad097f4f9b163d1b5c9e5b48" args="" -->
const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>timeGrid_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Piecewise time dependent Heston model. </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>
<p>A. Elices, Models with time-dependent parameters using transform methods: application to Heston’s model, <a href="http://arxiv.org/pdf/0708.2020">http://arxiv.org/pdf/0708.2020</a> </p>
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