- QuantLib
- MCEuropeanHestonEngine
 
Monte Carlo Heston-model engine for European options. More...
#include <ql/pricingengines/vanilla/mceuropeanhestonengine.hpp>

| Public Types | |
| typedef MCVanillaEngine < MultiVariate, RNG, S > ::path_pricer_type | path_pricer_type | 
| Public Member Functions | |
| MCEuropeanHestonEngine (const boost::shared_ptr< HestonProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
| Protected Member Functions | |
| boost::shared_ptr < path_pricer_type > | pathPricer () const | 
Monte Carlo Heston-model engine for European options.