QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Classes | Namespaces
hullwhite.hpp File Reference

Hull & White (HW) model. More...

#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
#include <utility>

Go to the source code of this file.

Classes

class  HullWhite
 Single-factor Hull-White (extended Vasicek) model class. More...
 
class  HullWhite::Dynamics
 Short-rate dynamics in the Hull-White model. More...
 
class  HullWhite::FittingParameter
 Analytical term-structure fitting parameter \( \varphi(t) \). More...
 
class  HullWhite::FittingParameter::Impl
 

Namespaces

namespace  QuantLib
 

Detailed Description

Hull & White (HW) model.

Definition in file hullwhite.hpp.