QuantLib: a free/open-source library for quantitative finance
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integralhestonvarianceoptionengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 StatPro Italia srl
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file integralhestonvarianceoptionengine.hpp
21 \brief integral Heston-model variance-option engine
22*/
23
24#ifndef quantlib_integral_heston_variance_option_engine_hpp
25#define quantlib_integral_heston_variance_option_engine_hpp
26
29
30namespace QuantLib {
31
32 //! integral Heston-model variance-option engine
33 /*! This engine implements the approach described in
34 <http://www.econ.univpm.it/recchioni/finance/w4/>.
35
36 \ingroup forwardengines
37 */
39 public:
40 explicit IntegralHestonVarianceOptionEngine(ext::shared_ptr<HestonProcess>);
41 void calculate() const override;
42
43 private:
44 ext::shared_ptr<HestonProcess> process_;
45 };
46
47}
48
49
50#endif
base class for variance-option engines
Heston stochastic process.
Definition: any.hpp:35
Variance option.