Creates an Analytic European Heston Engine for pricing vanilla structures (see - Heston, Steven L., 1993.

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.

The review of Financial Studies, Volume 6, Issue 2, 327-343).

The string 'Key' resulting from a successful construction of this engine object can be passed to the VanillaOption() function in order to create an VanillaOption object that can be priced via the PrcObjVanillaOption() function.

Be advised that the corresponding stochastic process object that is to be passed to the VanillaOption() function ('stochProcess' parameter) to support this engine has to be a Heston process object ( HestonProcess() or HestonProcess2() ).

In fact the same heston process object passed to this function's 'hestonProcess' parameter should also be passed to the VanillaOption() function.

This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "ANAHESENG"

String CTEngine.AnalyticHestonEngine( _
String Key, _
Long Reload, _
String hestonProcess, _
Long integrationOrder)

=CT.ENG.AnalyticHestonEngine(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell hestonProcess,
Excel Numeric Cell integrationOrder)

static std::string AnalyticHestonEngine(
std::string Key,
long Reload,
std::string hestonProcess,
long integrationOrder);

System.String CTEngineSA.AnalyticHestonEngine(
System.String Key,
System.Int32 Reload,
System.String hestonProcess,
System.Int32 integrationOrder);

The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.