HestonModel Class Reference

#include <ql/models/equity/hestonmodel.hpp>

Inheritance diagram for HestonModel:

Inheritance graph
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List of all members.

Detailed Description

Heston model for the stochastic volatility of an asset.

References:

Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.

Tests:
calibration is tested against known good values.


Public Member Functions

 HestonModel (const boost::shared_ptr< HestonProcess > &process)
Real theta () const
Real kappa () const
Real sigma () const
Real rho () const
Real v0 () const

Protected Member Functions

void generateArguments ()

Protected Attributes

RelinkableHandle< Quotev0_
RelinkableHandle< Quotekappa_
RelinkableHandle< Quotetheta_
RelinkableHandle< Quotesigma_
RelinkableHandle< Quoterho_