QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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equity Directory Reference

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