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hybridhestonhullwhiteprocess.hpp
Langue: en
Version: 374319 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/processes/hybridhestonhullwhiteprocess.hpp -hybrid equity (heston model) with stochastic interest rates (hull white model)
SYNOPSIS
#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/processes/jointstochasticprocess.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
Classes
class HybridHestonHullWhiteProcess
Hybrid Heston Hull-White stochastic process.
Detailed Description
hybrid equity (heston model) with stochastic interest rates (hull white model)
Author
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