hullwhite (3) - Linux Manuals

hullwhite: Hull & White (HW) model.

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 Dynamics
Short-rate dynamics in the Hull-White model.
class FittingParameter
Analytical term-structure fitting parameter $ iled Description"

Detailed Description

Hull & White (HW) model.

Author

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