hullwhite.hpp

Langue: en

Autres versions - même langue

Version: 378852 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/models/shortrate/onefactormodels/hullwhite.hpp -

Hull & White (HW) model.

SYNOPSIS


#include <ql/models/shortrate/onefactormodels/vasicek.hpp>

Classes


class HullWhite
Single-factor Hull-White (extended Vasicek) model class.
class HullWhite::Dynamics
Short-rate dynamics in the Hull-White model.
class HullWhite::FittingParameter
Analytical term-structure fitting parameter $ iled Description"

Detailed Description

Hull & White (HW) model.

Author

Generated automatically by Doxygen for QuantLib from the source code.