analyticpdfhestonengine.cpp File Reference

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

#include <ql/experimental/exoticoptions/analyticpdfhestonengine.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/methods/finitedifferences/utilities/hestonrndcalculator.hpp>
#include <utility>

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Namespaces
namespace	QuantLib

Detailed Description

Analytic engine for arbitrary European payoffs under the Heston model.

Definition in file analyticpdfhestonengine.cpp.