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

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
 

Detailed Description

Finite-differences Heston Hull-White vanilla option engine.

Definition in file fdhestonhullwhitevanillaengine.hpp.