Re: [Quantlib-dev] class AnalyticHestonEngine / AnalyticHestonEngine::Integration

[Klaus S. <kl...@sp...>]

Hi Toyin,

 
> I have been looking at the class AnalyticHestonEngine::Integration and I
> find that there are two variables that seem to be declared but never used
> (AnalyticHestonEngine.hpp).
>  
> mutable Real c_inf_;
> mutable boost::function1<Real, Real> f_;
>  
> 
> Also line 231 within the file AnalyticHestonEngine.cpp returns an
> expression, but the two (const std::complex<Real>) computed local
> expressions above it are never used in the return value. Am I missing
> something?

no, both parts are now defunc and I'll remove them. Thanks for the hint!

> Finally, can someone verify the following (Line 537 of
> ...

correct. Corresponds to equation 41 & 42 in the Kahl Jäckel paper
http://www.nccr-finrisk.uzh.ch/media/pdf/KahlJackel.pdf

best regards 
 Klaus