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batesengine.hpp File Reference

analytic Bates model engine More...

#include <ql/qldefines.hpp>
#include <ql/ShortRateModels/TwoFactorModels/batesmodel.hpp>
#include <ql/PricingEngines/Vanilla/analytichestonengine.hpp>
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Classes

class  QuantLib::BatesDetJumpEngine
class  QuantLib::BatesDoubleExpDetJumpEngine
class  QuantLib::BatesDoubleExpEngine
class  QuantLib::BatesEngine
 Bates model engines based on Fourier transform. More...

Detailed Description

analytic Bates model engine

Definition in file batesengine.hpp.


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