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mchullwhiteengine.hpp
Langue: en
Version: 377395 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/capfloor/mchullwhiteengine.hpp -Monte Carlo Hull-White engine for cap/floors.
SYNOPSIS
#include <ql/instruments/capfloor.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
Classes
class MCHullWhiteCapFloorEngine< RNG, S >
Monte Carlo Hull-White engine for cap/floors.
class MakeMCHullWhiteCapFloorEngine< RNG, S >
Monte Carlo Hull-White cap-floor engine factory.
Detailed Description
Monte Carlo Hull-White engine for cap/floors.
Author
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