QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | batesmodel.cpp [code] |
file | batesmodel.hpp [code] |
extended versions of the Heston model | |
file | gjrgarchmodel.cpp [code] |
file | gjrgarchmodel.hpp [code] |
GJR-GARCH model for the stochastic volatility of an asset. | |
file | hestonmodel.cpp [code] |
file | hestonmodel.hpp [code] |
Heston model for the stochastic volatility of an asset. | |
file | hestonmodelhelper.cpp [code] |
file | hestonmodelhelper.hpp [code] |
Heston-model calibration helper. | |
file | hestonslvfdmmodel.cpp [code] |
file | hestonslvfdmmodel.hpp [code] |
Heston stochastic local volatility model. | |
file | hestonslvmcmodel.cpp [code] |
file | hestonslvmcmodel.hpp [code] |
Calibration of a Heston stochastic local volatility model based on MC. | |
file | piecewisetimedependenthestonmodel.cpp [code] |
file | piecewisetimedependenthestonmodel.hpp [code] |
piecewise constant time dependent Heston-model | |