ql/PricingEngines/Vanilla/analytichestonengine.hpp File Reference
Detailed Description
analytic Heston-model engine
#include <ql/qldefines.hpp>
#include <ql/PricingEngines/genericmodelengine.hpp>
#include <ql/ShortRateModels/TwoFactorModels/hestonmodel.hpp>
#include <ql/Instruments/vanillaoption.hpp>
#include <ql/Math/gaussianquadratures.hpp>
#include <complex>
Include dependency graph for analytichestonengine.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | AnalyticHestonEngine |
analytic Heston-model engine based on Fourier transform More... |