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fdmhestonhullwhiteop.hpp
Langue: en
Version: 378304 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp -Heston Hull White linear operator.
SYNOPSIS
#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/experimental/finitedifferences/firstderivativeop.hpp>
#include <ql/experimental/finitedifferences/triplebandlinearop.hpp>
#include <ql/experimental/finitedifferences/ninepointlinearop.hpp>
#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
Detailed Description
Heston Hull White linear operator.
Author
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