QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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analytic Bates model engine More...
#include <ql/qldefines.hpp>
#include <ql/models/equity/batesmodel.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
Go to the source code of this file.
Classes | |
class | BatesEngine |
Bates model engines based on Fourier transform. More... | |
class | BatesDetJumpEngine |
class | BatesDoubleExpEngine |
class | BatesDoubleExpDetJumpEngine |
Namespaces | |
namespace | QuantLib |
analytic Bates model engine
Definition in file batesengine.hpp.