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Sourcecode: quantlib version File versions  Download package

batesengine.hpp File Reference


Detailed Description

analytic Bates model engine

Definition in file batesengine.hpp.

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

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

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


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