24#ifndef quantlib_analytic_h1_hw_engine_hpp
25#define quantlib_analytic_h1_hw_engine_hpp
27#include <ql/models/equity/hestonmodel.hpp>
28#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
29#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
71 const ext::shared_ptr<HullWhite>& hullWhiteModel,
72 Real rhoSr,
Size integrationOrder = 144);
75 const ext::shared_ptr<HullWhite>& hullWhiteModel,
Analytic Heston-Hull-White engine based on the H1-HW approximation.
std::complex< Real > addOnTerm(Real phi, Time t, Size j) const override
Analytic Heston engine incl. stochastic interest rates.
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container