QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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One-dimensional grid mesher for the variance part of the Heston model. More...
#include <ql/processes/hestonprocess.hpp>
#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
Go to the source code of this file.
Classes | |
class | FdmHestonVarianceMesher |
class | FdmHestonLocalVolatilityVarianceMesher |
Namespaces | |
namespace | QuantLib |
One-dimensional grid mesher for the variance part of the Heston model.
Definition in file fdmhestonvariancemesher.hpp.