QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Hull & White (HW) model. More...
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 |
Hull & White (HW) model.
Definition in file hullwhite.hpp.