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