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

risk neutral terminal density calculator for the Heston stochastic volatility model More...

#include <ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp>
#include <ql/shared_ptr.hpp>

Go to the source code of this file.

Classes

class  HestonRNDCalculator
 Risk neutral terminal probability density for the Heston model. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

risk neutral terminal density calculator for the Heston stochastic volatility model

Definition in file hestonrndcalculator.hpp.