hestonrndcalculator.cpp File Reference

#include <ql/math/functional.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/methods/finitedifferences/utilities/bsmrndcalculator.hpp>
#include <ql/methods/finitedifferences/utilities/hestonrndcalculator.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/hestonprocess.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <complex>
#include <utility>

Go to the source code of this file.

Namespaces
namespace	QuantLib

Variable Documentation

v0

Real v0

Definition at line 36 of file hestonrndcalculator.cpp.

kappa

Real kappa

Definition at line 36 of file hestonrndcalculator.cpp.

theta

Real theta

Definition at line 36 of file hestonrndcalculator.cpp.

sigma

Real sigma

Examples

CallableBonds.cpp, and DiscreteHedging.cpp.

Definition at line 36 of file hestonrndcalculator.cpp.

rho

Real rho

Definition at line 36 of file hestonrndcalculator.cpp.

p_

const HestonParams p_

private

Definition at line 103 of file hestonrndcalculator.cpp.

t_

const Time t_

private

Definition at line 104 of file hestonrndcalculator.cpp.

x_

const Real x_

private

Definition at line 105 of file hestonrndcalculator.cpp.

c_inf_

const Real c_inf_

private

Definition at line 105 of file hestonrndcalculator.cpp.