analytichestonengine.cpp File Reference

analytic Heston-Hull-White engine based on the H1-HW approximation More...

#include <ql/functional.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/math/integrals/discreteintegrals.hpp>
#include <ql/math/integrals/exponentialintegrals.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/math/integrals/kronrodintegral.hpp>
#include <ql/math/integrals/simpsonintegral.hpp>
#include <ql/math/integrals/trapezoidintegral.hpp>
#include <ql/math/integrals/expsinhintegral.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/math/expm1.hpp>
#include <ql/math/functional.hpp>
#include <ql/pricingengines/blackcalculator.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
#include <boost/math/tools/minima.hpp>
#include <boost/math/special_functions/sign.hpp>
#include <cmath>
#include <limits>
#include <utility>

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Namespaces
namespace	QuantLib

Detailed Description

analytic Heston-Hull-White engine based on the H1-HW approximation

Definition in file analytichestonengine.cpp.

Variable Documentation

c_inf_

const Real c_inf_

private

Definition at line 58 of file analytichestonengine.cpp.

f_

const std::function<Real(Real)> f_

private

Definition at line 59 of file analytichestonengine.cpp.

int_

const integrand2 int_

private

Definition at line 87 of file analytichestonengine.cpp.

logEpsilon_

const Real logEpsilon_

private

Definition at line 107 of file analytichestonengine.cpp.

evaluations_

Size evaluations_ = 0

mutableprivate

Definition at line 108 of file analytichestonengine.cpp.

v0T2_

const Real v0T2_

private

Definition at line 124 of file analytichestonengine.cpp.