Heston.cpp Alan Lewis decorrelation for Heston

Posted by PinkLizard on
URL: http://quantlib.414.s1.nabble.com/Heston-cpp-Alan-Lewis-decorrelation-for-Heston-tp12754.html

Hi,
In Hestonprocess.cpp there is a switch on Exact Variance Simulation where it's said that one uses Alan Lewi's trick to decorrelate equity and variance process.

Anyone can explain me this trick? I can't find it in the reference "Quantlib code is very high quality"...

Thanks