fdmhestonvariancemesher.hpp

Langue: en

Autres versions - même langue

Version: 168435 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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