hestonprocess.hpp

Langue: en

Autres versions - même langue

Version: 168668 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/processes/hestonprocess.hpp - Heston stochastic process.

SYNOPSIS


#include <ql/stochasticprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/quote.hpp>

Classes


class HestonProcess
Square-root stochastic-volatility Heston process.

Detailed Description

Heston stochastic process.

Author

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