QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Finite-differences Heston Hull-White vanilla option engine. More...
#include <ql/instruments/vanillaoption.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp>
Go to the source code of this file.
Classes | |
class | FdHestonHullWhiteVanillaEngine |
Finite-differences Heston Hull-White vanilla option engine. More... | |
Namespaces | |
namespace | QuantLib |
Finite-differences Heston Hull-White vanilla option engine.
Definition in file fdhestonhullwhitevanillaengine.hpp.