QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
mchestonhullwhiteengine.hpp File Reference

Monte Carlo vanilla option engine for stochastic interest rates. More...

#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/processes/hybridhestonhullwhiteprocess.hpp>
#include <utility>

Go to the source code of this file.

Classes

class  MCHestonHullWhiteEngine< RNG, S >
 
class  MakeMCHestonHullWhiteEngine< RNG, S >
 Monte Carlo Heston/Hull-White engine factory. More...
 
class  HestonHullWhitePathPricer
 

Namespaces

namespace  QuantLib
 

Detailed Description

Monte Carlo vanilla option engine for stochastic interest rates.

Definition in file mchestonhullwhiteengine.hpp.