analytichestonengine.hpp File Reference

analytic Heston-model engine More...

#include <ql/utilities/null.hpp>
#include <ql/math/integrals/integral.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/functional.hpp>
#include <complex>

Go to the source code of this file.

Classes
class	AnalyticHestonEngine
	analytic Heston-model engine based on Fourier transform More...
class	AnalyticHestonEngine::Integration
class	AnalyticHestonEngine::AP_Helper
class	AnalyticHestonEngine::OptimalAlpha

Namespaces
namespace	QuantLib

Detailed Description

analytic Heston-model engine

analytic Heston expansion engine

Definition in file analytichestonengine.hpp.