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fdmhestonvariancemesher.hpp
Langue: en
Version: 168435 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp - One-dimensional grid mesher for the variance in the heston problem.SYNOPSIS
#include <ql/processes/hestonprocess.hpp>
#include <ql/experimental/finitedifferences/fdm1dmesher.hpp>
Detailed Description
One-dimensional grid mesher for the variance in the heston problem.
Author
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