ql/pricingengines/vanilla/analytichestonengine.hpp File Reference


Detailed Description

analytic Heston-model engine

#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/math/integrals/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...