QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
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 |
analytic Heston-Hull-White engine based on the H1-HW approximation
Definition in file analytichestonengine.cpp.
|
private |
Definition at line 58 of file analytichestonengine.cpp.
|
private |
Definition at line 59 of file analytichestonengine.cpp.
|
private |
Definition at line 87 of file analytichestonengine.cpp.
|
private |
Definition at line 107 of file analytichestonengine.cpp.
|
mutableprivate |
Definition at line 108 of file analytichestonengine.cpp.
|
private |
Definition at line 124 of file analytichestonengine.cpp.