QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
fdmhestonvariancemesher.hpp File Reference

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
 

Detailed Description

One-dimensional grid mesher for the variance part of the Heston model.

Definition in file fdmhestonvariancemesher.hpp.