Finite-Differences Heston barrier option engine. More...
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/instruments/dividendbarrieroption.hpp>
Classes | |
class | FdHestonBarrierEngine |
Finite-Differences Heston Barrier Option engine. More... | |
Namespaces | |
QuantLib | |
Finite-Differences Heston barrier option engine.