QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
models Directory Reference

Files

file  hestonslvfdmmodel.hpp
 Heston stochastic local volatility model.
 
file  hestonslvmcmodel.hpp
 Calibration of a Heston stochastic local volatility model based on MC.
 
file  normalclvmodel.hpp
 CLV model with a normally distributed kernel process.
 
file  squarerootclvmodel.hpp
 CLV model with a square root kernel process.