1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: PiecewiseTimeDependentHestonModel Class Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_piecewise_time_dependent_heston_model.html">PiecewiseTimeDependentHestonModel</a></li> </ul>
</div>
</div><!-- top -->
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-attribs">Protected Attributes</a> |
<a href="class_quant_lib_1_1_piecewise_time_dependent_heston_model-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">PiecewiseTimeDependentHestonModel Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<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>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for PiecewiseTimeDependentHestonModel:</div>
<div id="dynsection-0-summary" class="dynsummary" style="display:block;">
</div>
<div id="dynsection-0-content" class="dyncontent" style="display:none;">
<div class="center"><img src="class_quant_lib_1_1_piecewise_time_dependent_heston_model__inherit__graph.png" border="0" usemap="#a_piecewise_time_dependent_heston_model_inherit__map" alt="Inheritance graph"/></div>
<map name="_piecewise_time_dependent_heston_model_inherit__map" id="a_piecewise_time_dependent_heston_model_inherit__map">
<area shape="rect" title="Piecewise time dependent Heston model." alt="" coords="5,155,221,196"/>
<area shape="rect" href="class_quant_lib_1_1_calibrated_model.html" title="Calibrated model class." alt="" coords="55,80,171,107"/>
<area shape="rect" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="24,5,99,32"/>
<area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observers." alt="" coords="123,5,211,32"/>
</map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a51af1b4e0d1b37952eab732e7b690a0a"><td class="memItemLeft" align="right" valign="top"><a id="a51af1b4e0d1b37952eab732e7b690a0a"></a>
 </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 class="separator:a51af1b4e0d1b37952eab732e7b690a0a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6999570844ab3811842745095fbf95f6"><td class="memItemLeft" align="right" valign="top"><a id="a6999570844ab3811842745095fbf95f6"></a>
<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 class="separator:a6999570844ab3811842745095fbf95f6"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aea2544a8829fa0ac204acbb2b3f80aea"><td class="memItemLeft" align="right" valign="top"><a id="aea2544a8829fa0ac204acbb2b3f80aea"></a>
<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 class="separator:aea2544a8829fa0ac204acbb2b3f80aea"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abf7410963b1f9f897f545a6e6828e94b"><td class="memItemLeft" align="right" valign="top"><a id="abf7410963b1f9f897f545a6e6828e94b"></a>
<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 class="separator:abf7410963b1f9f897f545a6e6828e94b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4d510e88fc119ae3563f1b7341c1f9f4"><td class="memItemLeft" align="right" valign="top"><a id="a4d510e88fc119ae3563f1b7341c1f9f4"></a>
<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 class="separator:a4d510e88fc119ae3563f1b7341c1f9f4"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8b9537c785da7b6872482fee29cfb731"><td class="memItemLeft" align="right" valign="top"><a id="a8b9537c785da7b6872482fee29cfb731"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>v0</b> () const</td></tr>
<tr class="separator:a8b9537c785da7b6872482fee29cfb731"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5641dc84f2df4c813ec2b862fb5b2c34"><td class="memItemLeft" align="right" valign="top"><a id="a5641dc84f2df4c813ec2b862fb5b2c34"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>s0</b> () const</td></tr>
<tr class="separator:a5641dc84f2df4c813ec2b862fb5b2c34"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab1b4f3ee63c7fc18845e10236dd5df8d"><td class="memItemLeft" align="right" valign="top"><a id="ab1b4f3ee63c7fc18845e10236dd5df8d"></a>
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 class="separator:ab1b4f3ee63c7fc18845e10236dd5df8d"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8b96bfefd25ed4845f6fe24a80e91665"><td class="memItemLeft" align="right" valign="top"><a id="a8b96bfefd25ed4845f6fe24a80e91665"></a>
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> () const</td></tr>
<tr class="separator:a8b96bfefd25ed4845f6fe24a80e91665"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aecedd71bbe2a44bed902daa89136165c"><td class="memItemLeft" align="right" valign="top"><a id="aecedd71bbe2a44bed902daa89136165c"></a>
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> () const</td></tr>
<tr class="separator:aecedd71bbe2a44bed902daa89136165c"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_calibrated_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_calibrated_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_calibrated_model.html">CalibratedModel</a></td></tr>
<tr class="memitem:ab43067bd779206b1a734151bd62e9c5f inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="ab43067bd779206b1a734151bd62e9c5f"></a>
 </td><td class="memItemRight" valign="bottom"><b>CalibratedModel</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
<tr class="separator:ab43067bd779206b1a734151bd62e9c5f inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr class="separator:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2c63b37e0303ef53a2b4aabdf30f6616 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#a2c63b37e0303ef53a2b4aabdf30f6616">calibrate</a> (const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > &, <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> &method, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#a689f17edf70f02c42a061798e1344cc6">endCriteria</a>, const <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &constraint=<a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a>(), const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &weights=std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), const std::vector< bool > &fixParameters=std::vector< bool >())</td></tr>
<tr class="memdesc:a2c63b37e0303ef53a2b4aabdf30f6616 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Calibrate to a set of market instruments (usually caps/swaptions) <a href="class_quant_lib_1_1_calibrated_model.html#a2c63b37e0303ef53a2b4aabdf30f6616">More...</a><br /></td></tr>
<tr class="separator:a2c63b37e0303ef53a2b4aabdf30f6616 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac664da62fe7dddfe57529764aaca5187 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">virtual QL_DEPRECATED void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac664da62fe7dddfe57529764aaca5187">calibrate</a> (const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_black_calibration_helper.html">BlackCalibrationHelper</a> > > &, <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> &method, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#a689f17edf70f02c42a061798e1344cc6">endCriteria</a>, const <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &constraint=<a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a>(), const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &weights=std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), const std::vector< bool > &fixParameters=std::vector< bool >())</td></tr>
<tr class="separator:ac664da62fe7dddfe57529764aaca5187 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6c2fb01b68f90892cc39a5c6c12d4e09 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a6c2fb01b68f90892cc39a5c6c12d4e09"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>value</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>, const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > &)</td></tr>
<tr class="separator:a6c2fb01b68f90892cc39a5c6c12d4e09 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab6af309e095da49d254389268b488373 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">QL_DEPRECATED <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ab6af309e095da49d254389268b488373">value</a> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>, const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_black_calibration_helper.html">BlackCalibrationHelper</a> > > &)</td></tr>
<tr class="separator:ab6af309e095da49d254389268b488373 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9b542f77b9f84eeb36ac1ea3ca7f2d5f inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a9b542f77b9f84eeb36ac1ea3ca7f2d5f"></a>
const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> > & </td><td class="memItemRight" valign="bottom"><b>constraint</b> () const</td></tr>
<tr class="separator:a9b542f77b9f84eeb36ac1ea3ca7f2d5f inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a689f17edf70f02c42a061798e1344cc6 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a689f17edf70f02c42a061798e1344cc6"></a>
EndCriteria::Type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#a689f17edf70f02c42a061798e1344cc6">endCriteria</a> () const</td></tr>
<tr class="memdesc:a689f17edf70f02c42a061798e1344cc6 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns end criteria result. <br /></td></tr>
<tr class="separator:a689f17edf70f02c42a061798e1344cc6 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aacc31e5f4aa4d15a3f33fd81b916897a inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="aacc31e5f4aa4d15a3f33fd81b916897a"></a>
const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#aacc31e5f4aa4d15a3f33fd81b916897a">problemValues</a> () const</td></tr>
<tr class="memdesc:aacc31e5f4aa4d15a3f33fd81b916897a inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns the problem values. <br /></td></tr>
<tr class="separator:aacc31e5f4aa4d15a3f33fd81b916897a inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac8c77215168957e035ff1f8eba542910 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="ac8c77215168957e035ff1f8eba542910"></a>
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a> () const</td></tr>
<tr class="memdesc:ac8c77215168957e035ff1f8eba542910 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns array of arguments on which calibration is done. <br /></td></tr>
<tr class="separator:ac8c77215168957e035ff1f8eba542910 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3ce9fc39f465b4155ac6573ebb571c18 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a3ce9fc39f465b4155ac6573ebb571c18"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>setParams</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>)</td></tr>
<tr class="separator:a3ce9fc39f465b4155ac6573ebb571c18 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a82ee0985ecccbdc973ccd4ac78d82497 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a82ee0985ecccbdc973ccd4ac78d82497"></a>
<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>functionEvaluation</b> () const</td></tr>
<tr class="separator:a82ee0985ecccbdc973ccd4ac78d82497 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
<tr class="separator:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a6810b3645967da11d5f5d4804d37bacc"></a>
<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
<tr class="separator:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="aa6ade205ed506bf712da2704f80a73a0"></a>
std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
<tr class="separator:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
<tr class="separator:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a4ce7359ad0f73a54dba555be24855804"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
<tr class="separator:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a0c19cb502f3b720b99b176ea6cc7e319"></a>
void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
<tr class="separator:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
<tr class="separator:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
<tr class="separator:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr class="memitem:abfa6bbfcd66fddbf5f3f847d603c3f5a"><td class="memItemLeft" align="right" valign="top"><a id="abfa6bbfcd66fddbf5f3f847d603c3f5a"></a>
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 class="separator:abfa6bbfcd66fddbf5f3f847d603c3f5a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af953edebcd8fa53ee70731a140c71f81"><td class="memItemLeft" align="right" valign="top"><a id="af953edebcd8fa53ee70731a140c71f81"></a>
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 class="separator:af953edebcd8fa53ee70731a140c71f81"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a886cfcabead9ec05ca05dd35de3bfa5b"><td class="memItemLeft" align="right" valign="top"><a id="a886cfcabead9ec05ca05dd35de3bfa5b"></a>
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 class="separator:a886cfcabead9ec05ca05dd35de3bfa5b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5bdb90eaad097f4f9b163d1b5c9e5b48"><td class="memItemLeft" align="right" valign="top"><a id="a5bdb90eaad097f4f9b163d1b5c9e5b48"></a>
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>
<tr class="separator:a5bdb90eaad097f4f9b163d1b5c9e5b48"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_calibrated_model"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_calibrated_model')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_calibrated_model.html">CalibratedModel</a></td></tr>
<tr class="memitem:a8d6cb3b36a2e282c440aad042035196a inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a8d6cb3b36a2e282c440aad042035196a"></a>
std::vector< <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> > </td><td class="memItemRight" valign="bottom"><b>arguments_</b></td></tr>
<tr class="separator:a8d6cb3b36a2e282c440aad042035196a inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a885de9b9a245ad01bbf33f95d0d111da inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a885de9b9a245ad01bbf33f95d0d111da"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> > </td><td class="memItemRight" valign="bottom"><b>constraint_</b></td></tr>
<tr class="separator:a885de9b9a245ad01bbf33f95d0d111da inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8705485af58de6eb300e980a627a0be0 inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a8705485af58de6eb300e980a627a0be0"></a>
EndCriteria::Type </td><td class="memItemRight" valign="bottom"><b>shortRateEndCriteria_</b></td></tr>
<tr class="separator:a8705485af58de6eb300e980a627a0be0 inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acfa9b07b88a697ce6387b8a735195e2b inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="acfa9b07b88a697ce6387b8a735195e2b"></a>
<a class="el" href="class_quant_lib_1_1_array.html">Array</a> </td><td class="memItemRight" valign="bottom"><b>problemValues_</b></td></tr>
<tr class="separator:acfa9b07b88a697ce6387b8a735195e2b inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a733c93ead43e5991f400c80708e828f7 inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a733c93ead43e5991f400c80708e828f7"></a>
<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>functionEvaluation_</b></td></tr>
<tr class="separator:a733c93ead43e5991f400c80708e828f7 inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
<tr class="separator:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
<tr class="separator:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_calibrated_model"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_calibrated_model')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_calibrated_model.html">CalibratedModel</a></td></tr>
<tr class="memitem:a2a6a0697363420cbf8673f8e61fe6d7e inherit pro_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a2a6a0697363420cbf8673f8e61fe6d7e"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
<tr class="separator:a2a6a0697363420cbf8673f8e61fe6d7e inherit pro_methods_class_quant_lib_1_1_calibrated_model"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">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>
</div></div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|