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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/quotes/simplequote.hpp>
#include <ql/models/equity/piecewisetimedependenthestonmodel.hpp>
namespace QuantLib {
PiecewiseTimeDependentHestonModel::PiecewiseTimeDependentHestonModel(
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)
: CalibratedModel(5),
s0_ (s0),
riskFreeRate_ (riskFreeRate),
dividendYield_(dividendYield),
timeGrid_ (timeGrid) {
arguments_[0] = theta;
arguments_[1] = kappa;
arguments_[2] = sigma;
arguments_[3] = rho;
arguments_[4] = ConstantParameter(v0, PositiveConstraint());
registerWith(s0);
registerWith(riskFreeRate);
registerWith(dividendYield);
}
const TimeGrid& PiecewiseTimeDependentHestonModel::timeGrid() const {
return timeGrid_;
}
const Handle<YieldTermStructure>&
PiecewiseTimeDependentHestonModel::dividendYield() const {
return dividendYield_;
}
const Handle<YieldTermStructure>&
PiecewiseTimeDependentHestonModel::riskFreeRate() const {
return riskFreeRate_;
}
}
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