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

hybrid equity (heston model) with stochastic interest rates (hull white model) More...

#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/processes/jointstochasticprocess.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>

Go to the source code of this file.

Classes

class  HybridHestonHullWhiteProcess
 Hybrid Heston Hull-White stochastic process. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

hybrid equity (heston model) with stochastic interest rates (hull white model)

Definition in file hybridhestonhullwhiteprocess.hpp.