exponentialfittinghestonengine.hpp File Reference

analytic Heston-model engine based on exponential fitting More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
#include <vector>

Go to the source code of this file.

Classes
class	ExponentialFittingHestonEngine
	analytic Heston-model engine based on More...

Namespaces
namespace	QuantLib

Detailed Description

analytic Heston-model engine based on exponential fitting

Definition in file exponentialfittinghestonengine.hpp.