QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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analytich1hwengine.hpp File Reference

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
 

Detailed Description

analytic Heston-Hull-White engine based on the H1-HW approximation

Definition in file analytich1hwengine.hpp.