Soon, before end April 2017. It's a hard deadline. In fact, several of us have coded it up but not exactly for Heston and I want to put in the new stuff for Heston.
You keep saying Heston, but you mean Garch (the topic of Alan's goal), right?
I mean indeed Heston PDE and its FD approximation which is one the themes here (it's project in itself in any case).. If I have understood Billy7 properly, GARCH can be done based on it?(?)
Yes, that was my experience, though I haven't been able to test more, maybe today. As can readily be seen by comparing the Heston and GARCH pricing PDEs, the only thing different is the power of v in the diffusion and cross derivative terms. So the mechanics should be the same, but obviously stability characteristics would change. Other details change as well, but overall going from one to the other shouldn't be much of a problem.