ql/PricingEngines/Vanilla/batesengine.hpp File Reference


Detailed Description

analytic Bates model engine

#include <ql/qldefines.hpp>
#include <ql/ShortRateModels/TwoFactorModels/batesmodel.hpp>
#include <ql/PricingEngines/Vanilla/analytichestonengine.hpp>

Include dependency graph for batesengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  BatesEngine
 Bates model engines based on Fourier transform. More...