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

generalized Hull-White model More...

#include <ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <utility>

Go to the source code of this file.

Classes

class  InterpolationParameter
 Parameter that holds an interpolation object. More...
 
class  InterpolationParameter::Impl
 
class  GeneralizedHullWhite
 Generalized Hull-White model class. More...
 
class  GeneralizedHullWhite::Dynamics
 Short-rate dynamics in the generalized Hull-White model. More...
 
struct  GeneralizedHullWhite::Dynamics::identity
 
class  GeneralizedHullWhite::FittingParameter
 Analytical term-structure fitting parameter \( \varphi(t) \). More...
 
class  GeneralizedHullWhite::FittingParameter::Impl
 
class  LinearFlatInterpolation
 Linear interpolation between discrete points with flat extapolation More...
 
class  LinearFlat
 Linear-interpolation with flat-extrapolation factory and traits More...
 
class  LinearFlatInterpolationImpl< I1, I2 >
 

Namespaces

namespace  QuantLib
 
namespace  QuantLib::detail
 

Detailed Description

generalized Hull-White model

Definition in file generalizedhullwhite.hpp.