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

Analytic engine for arbitrary European payoffs under the Heston model. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>

Go to the source code of this file.

Classes

class  AnalyticPDFHestonEngine
 Analytic engine for arbitrary European payoffs under the Heston model. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Analytic engine for arbitrary European payoffs under the Heston model.

Definition in file analyticpdfhestonengine.hpp.