NAME

ql/pricingengines/vanilla/mceuropeanhestonengine.hpp - Monte Carlo Heston-model engine for European options.

SYNOPSIS


#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/hestonprocess.hpp>

Classes


class MCEuropeanHestonEngine< RNG, S >
Monte Carlo Heston-model engine for European options.
class MakeMCEuropeanHestonEngine< RNG, S >
Monte Carlo Heston European engine factory.

Detailed Description

Monte Carlo Heston-model engine for European options.

Author

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