QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
analytic Heston-Hull-White engine based on the H1-HW approximation More...
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
Go to the source code of this file.
Classes | |
class | AnalyticH1HWEngine |
Analytic Heston-Hull-White engine based on the H1-HW approximation. More... | |
Namespaces | |
namespace | QuantLib |
analytic Heston-Hull-White engine based on the H1-HW approximation
Definition in file analytich1hwengine.hpp.