Kooderive Code

Status: Beta

Brought to you by: markjoshi

Commit [r254] Maximize Restore History

added cos method to gold code. It prices calls and puts in the Heston Model correctly.

Authored by: markjoshi 2015-12-08

Browse code at this revision

Parent: [r253]

Child: [r255]

changed	/build/vs2012/kooderive/gold/gold.vcxproj
changed	/build/vs2012/kooderive/gold_example/gold_example.vcxproj
added	/gold/CosMethod_gold.cpp
added	/gold/CosMethod_gold.h
added	/gold/HestonCF_gold.cpp
added	/gold/HestonCF_gold.h
added	/gold/gold_example/Heston_cf.cpp
added	/gold/gold_example/Heston_cf.h
changed	/gold/gold_example/gold_example_main.cpp

/build/vs2012/kooderive/gold/gold.vcxproj Diff Switch to side-by-side view

/build/vs2012/kooderive/gold_example/gold_example.vcxproj Diff Switch to side-by-side view

/gold/CosMethod_gold.cpp Diff Switch to side-by-side view

/gold/CosMethod_gold.h Diff Switch to side-by-side view

/gold/HestonCF_gold.cpp Diff Switch to side-by-side view

/gold/HestonCF_gold.h Diff Switch to side-by-side view

/gold/gold_example/Heston_cf.cpp Diff Switch to side-by-side view

/gold/gold_example/Heston_cf.h Diff Switch to side-by-side view

/gold/gold_example/gold_example_main.cpp Diff Switch to side-by-side view