fdhestonhullwhitevanillaengine.hpp

Langue: en

Version: 377624 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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