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<a href="#pub-methods">Public Member Functions</a> &#124;
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<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 &lt;ql/models/equity/piecewisetimedependenthestonmodel.hpp&gt;</code></p>
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  <img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for PiecewiseTimeDependentHestonModel:</div>
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<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>
&#160;</td><td class="memItemRight" valign="bottom"><b>PiecewiseTimeDependentHestonModel</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>&lt; <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> &gt; &amp;riskFreeRate, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>&lt; <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> &gt; &amp;dividendYield, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>&lt; <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> &gt; &amp;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> &amp;theta, const <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> &amp;kappa, const <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> &amp;sigma, const <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> &amp;rho, const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &amp;timeGrid)</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>&#160;</td><td class="memItemRight" valign="bottom"><b>theta</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>&#160;</td><td class="memItemRight" valign="bottom"><b>kappa</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>&#160;</td><td class="memItemRight" valign="bottom"><b>sigma</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
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<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>&#160;</td><td class="memItemRight" valign="bottom"><b>rho</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>&#160;</td><td class="memItemRight" valign="bottom"><b>v0</b> () const</td></tr>
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const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &amp;&#160;</td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const</td></tr>
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const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>&lt; <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> &gt; &amp;&#160;</td><td class="memItemRight" valign="bottom"><b>dividendYield</b> () const</td></tr>
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const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>&lt; <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> &gt; &amp;&#160;</td><td class="memItemRight" valign="bottom"><b>riskFreeRate</b> () const</td></tr>
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<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="-"/>&#160;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>
&#160;</td><td class="memItemRight" valign="bottom"><b>CalibratedModel</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
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<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
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<tr class="memitem:a2c63b37e0303ef53a2b4aabdf30f6616 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">virtual void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#a2c63b37e0303ef53a2b4aabdf30f6616">calibrate</a> (const std::vector&lt; ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> &gt; &gt; &amp;, <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> &amp;method, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &amp;<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> &amp;constraint=<a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a>(), const std::vector&lt; <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> &gt; &amp;weights=std::vector&lt; <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> &gt;(), const std::vector&lt; bool &gt; &amp;fixParameters=std::vector&lt; bool &gt;())</td></tr>
<tr class="memdesc:a2c63b37e0303ef53a2b4aabdf30f6616 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft">&#160;</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>
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<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&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac664da62fe7dddfe57529764aaca5187">calibrate</a> (const std::vector&lt; ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_black_calibration_helper.html">BlackCalibrationHelper</a> &gt; &gt; &amp;, <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> &amp;method, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &amp;<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> &amp;constraint=<a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a>(), const std::vector&lt; <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> &gt; &amp;weights=std::vector&lt; <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> &gt;(), const std::vector&lt; bool &gt; &amp;fixParameters=std::vector&lt; bool &gt;())</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>&#160;</td><td class="memItemRight" valign="bottom"><b>value</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &amp;<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>, const std::vector&lt; ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> &gt; &gt; &amp;)</td></tr>
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<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>&#160;</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> &amp;<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>, const std::vector&lt; ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_black_calibration_helper.html">BlackCalibrationHelper</a> &gt; &gt; &amp;)</td></tr>
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const ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &gt; &amp;&#160;</td><td class="memItemRight" valign="bottom"><b>constraint</b> () const</td></tr>
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EndCriteria::Type&#160;</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">&#160;</td><td class="mdescRight">Returns end criteria result. <br /></td></tr>
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const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &amp;&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#aacc31e5f4aa4d15a3f33fd81b916897a">problemValues</a> () const</td></tr>
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<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>&lt; <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &gt;&#160;</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">&#160;</td><td class="mdescRight">Returns array of arguments on which calibration is done. <br /></td></tr>
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virtual void&#160;</td><td class="memItemRight" valign="bottom"><b>setParams</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &amp;<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>)</td></tr>
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<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a>&#160;</td><td class="memItemRight" valign="bottom"><b>functionEvaluation</b> () const</td></tr>
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&#160;</td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &amp;)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &amp;&#160;</td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &amp;)</td></tr>
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std::pair&lt; iterator, bool &gt;&#160;</td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &gt; &amp;)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &gt; &amp;)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>&#160;</td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &gt; &amp;)</td></tr>
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void&#160;</td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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&#160;</td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &amp;)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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<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>&lt; <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> &gt;&#160;</td><td class="memItemRight" valign="bottom"><b>s0_</b></td></tr>
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const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>&lt; <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> &gt;&#160;</td><td class="memItemRight" valign="bottom"><b>riskFreeRate_</b></td></tr>
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const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>&lt; <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> &gt;&#160;</td><td class="memItemRight" valign="bottom"><b>dividendYield_</b></td></tr>
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const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a>&#160;</td><td class="memItemRight" valign="bottom"><b>timeGrid_</b></td></tr>
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<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="-"/>&#160;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&lt; <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> &gt;&#160;</td><td class="memItemRight" valign="bottom"><b>arguments_</b></td></tr>
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ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &gt;&#160;</td><td class="memItemRight" valign="bottom"><b>constraint_</b></td></tr>
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EndCriteria::Type&#160;</td><td class="memItemRight" valign="bottom"><b>shortRateEndCriteria_</b></td></tr>
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<a class="el" href="class_quant_lib_1_1_array.html">Array</a>&#160;</td><td class="memItemRight" valign="bottom"><b>problemValues_</b></td></tr>
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<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a>&#160;</td><td class="memItemRight" valign="bottom"><b>functionEvaluation_</b></td></tr>
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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="-"/>&#160;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&lt; ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &gt; &gt;&#160;</td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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typedef set_type::iterator&#160;</td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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<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="-"/>&#160;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&#160;</td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
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</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>
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