analytic Heston-model engine More...
#include <ql/math/integrals/integral.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <boost/function.hpp>
#include <complex>
Classes | |
class | AnalyticHestonEngine |
analytic Heston-model engine based on Fourier transform More... |
analytic Heston-model engine