QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Namespaces
analytichestonengine.cpp File Reference

analytic Heston-Hull-White engine based on the H1-HW approximation More...

#include <ql/functional.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/math/integrals/discreteintegrals.hpp>
#include <ql/math/integrals/exponentialintegrals.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/math/integrals/kronrodintegral.hpp>
#include <ql/math/integrals/simpsonintegral.hpp>
#include <ql/math/integrals/trapezoidintegral.hpp>
#include <ql/math/integrals/expsinhintegral.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/math/expm1.hpp>
#include <ql/math/functional.hpp>
#include <ql/pricingengines/blackcalculator.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
#include <boost/math/tools/minima.hpp>
#include <boost/math/special_functions/sign.hpp>
#include <cmath>
#include <limits>
#include <utility>

Go to the source code of this file.

Namespaces

namespace  QuantLib
 

Detailed Description

analytic Heston-Hull-White engine based on the H1-HW approximation

Definition in file analytichestonengine.cpp.

Variable Documentation

◆ c_inf_

const Real c_inf_
private

Definition at line 58 of file analytichestonengine.cpp.

◆ f_

const ext::function<Real(Real)> f_
private

Definition at line 59 of file analytichestonengine.cpp.

◆ int_

const integrand2 int_
private

Definition at line 87 of file analytichestonengine.cpp.

◆ logEpsilon_

const Real logEpsilon_
private

Definition at line 107 of file analytichestonengine.cpp.

◆ evaluations_

Size evaluations_ = 0
mutableprivate

Definition at line 108 of file analytichestonengine.cpp.

◆ v0T2_

const Real v0T2_
private

Definition at line 124 of file analytichestonengine.cpp.