fdhestonrebateengine.hpp File Reference

Finite-differences Heston barrier-option rebate helper engine. More...

#include <ql/models/equity/hestonmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/instruments/barrieroption.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>

Go to the source code of this file.

Classes
class	FdHestonRebateEngine
	Finite-differences Heston barrier-option rebate helper engine. More...

Namespaces
namespace	QuantLib

Detailed Description

Finite-differences Heston barrier-option rebate helper engine.

Definition in file fdhestonrebateengine.hpp.