QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 |
generalized Hull-White model
Definition in file generalizedhullwhite.hpp.