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fdhestonhullwhitevanillaengine.hpp
Langue: en
Version: 377624 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp -Finite-Differences Heston Hull-White vanilla option engine.
SYNOPSIS
#include <ql/instruments/dividendvanillaoption.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp>
Classes
class FdHestonHullWhiteVanillaEngine
Finite-Differences Heston Hull-White Vanilla Option engine.
Detailed Description
Finite-Differences Heston Hull-White vanilla option engine.
Author
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