[Quantlib-dev] (no subject)

[Simon I. <Sim...@fs...>]

Hi,

 

I'm investigating the pricing of CVA via the method outlined in Brigo
(2009). I've looked through QuantLib and can't find any reference to
valuation using Fourier Transforms. I'm sure there must be something -
as the Heston model is well represented in QuantLib - but simply can't
see where it would fit.

 

Can anyone advise me of where to look?

 

Thanks.

Simon




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