24#ifndef quantlib_cos_heston_engine_hpp
25#define quantlib_cos_heston_engine_hpp
27#include <ql/models/equity/hestonmodel.hpp>
28#include <ql/instruments/vanillaoption.hpp>
29#include <ql/pricingengines/genericmodelengine.hpp>
55 VanillaOption::arguments,
56 VanillaOption::results> {
COS-method Heston engine based on efficient Fourier series expansions.
void calculate() const override
std::complex< Real > chF(Real u, Real t) const
Real kurtosis(Time t) const
Base class for some pricing engine on a particular model.
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container