coshestonengine.hpp File Reference

Heston engine based on Fourier-Cosine series expansions. More...

#include <ql/models/equity/hestonmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <complex>

Go to the source code of this file.

Classes
class	COSHestonEngine
	COS-method Heston engine based on efficient Fourier series expansions. More...

Namespaces
namespace	QuantLib

Detailed Description

Heston engine based on Fourier-Cosine series expansions.

Definition in file coshestonengine.hpp.