QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <ql/math/functional.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/distributions/chisquaredistribution.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
#include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/statistics/mean.hpp>
#include <boost/accumulators/statistics/stats.hpp>
#include <set>
#include <algorithm>
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Namespaces | |
namespace | QuantLib |
LinearInterpolation variance |
Definition at line 45 of file fdmhestonvariancemesher.cpp.