Re: [Quantlib-dev] (no subject)

[Bojan N. <bo...@bn...>]

"Simon Ibbotson" <Sim...@fs...> writes:

> 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.

The Heston model lives in 

ql/pricingengines/vanilla/analytichestonengine.hpp

The Fourier integral is evaluated by direct Gauss-Lobatto quadrature.

Best,
Bojan



-- 
Bojan Nikolic          ||          http://www.bnikolic.co.uk/ql