QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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hestonrndcalculator.cpp File Reference
#include <ql/math/functional.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/methods/finitedifferences/utilities/bsmrndcalculator.hpp>
#include <ql/methods/finitedifferences/utilities/hestonrndcalculator.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/hestonprocess.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <complex>
#include <utility>

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Namespaces

namespace  QuantLib
 

Variable Documentation

◆ v0

Real v0

Definition at line 36 of file hestonrndcalculator.cpp.

◆ kappa

Real kappa

Definition at line 36 of file hestonrndcalculator.cpp.

◆ theta

Real theta

Definition at line 36 of file hestonrndcalculator.cpp.

◆ sigma

Real sigma
Examples
CallableBonds.cpp, and DiscreteHedging.cpp.

Definition at line 36 of file hestonrndcalculator.cpp.

◆ rho

Real rho

Definition at line 36 of file hestonrndcalculator.cpp.

◆ p_

const HestonParams p_
private

Definition at line 103 of file hestonrndcalculator.cpp.

◆ t_

const Time t_
private

Definition at line 104 of file hestonrndcalculator.cpp.

◆ x_

const Real x_
private

Definition at line 105 of file hestonrndcalculator.cpp.

◆ c_inf_

const Real c_inf_
private

Definition at line 105 of file hestonrndcalculator.cpp.