QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Heston stochastic process. More...
#include <ql/stochasticprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/quote.hpp>
Go to the source code of this file.
Classes | |
class | HestonProcess |
Square-root stochastic-volatility Heston process. More... | |
Namespaces | |
namespace | QuantLib |
Heston stochastic process.
Definition in file hestonprocess.hpp.