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fdhestonbarrierengine.hpp File Reference


Detailed Description

Finite-Differences Heston barrier option engine.

Definition in file fdhestonbarrierengine.hpp.

#include <ql/models/equity/hestonmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/experimental/finitedifferences/fdmhestonsolver.hpp>
#include <ql/experimental/finitedifferences/fdmbackwardsolver.hpp>
#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::FdHestonBarrierEngine
 Finite-Differences Heston Barrier Option engine. More...


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