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

Heston engine based on Fourier-Cosine series expansions. More...

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

Go to the source code of this file.

Classes

class  COSHestonEngine
 COS-method Heston engine based on efficient Fourier series expansions. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Heston engine based on Fourier-Cosine series expansions.

Definition in file coshestonengine.hpp.