Hi all,
i am a new intern quant.. and i had almost never used C++!!
i have to simulate the heston model http://www.javaquant.net/papers/Heston-original.pdf the equations from the page 328 to 331.. so, i am using the Euler decompostion but i have some problems with using C++
if any one can tell me how we can simulate en infinite integral.. the formula on the page 331 with complex number!!
thanks a lot for help

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Great thing ! What would you pay for complete numerical solution of the PDEs from page 328 to 331 written in c++ ?


so u can make the pricer before :)
thanks for help if u r serious :p

google "C++ integral class"... it might be in the standard math library (I doubt it) ... but there's a good chance it's been done before. No sense re-inventing the wheel.

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