mchullwhiteengine (3) Linux Manual Page
ql/pricingengines/capfloor/mchullwhiteengine.hpp – Monte Carlo Hull-White engine for cap/floors.
Synopsis
#include <ql/instruments/capfloor.hpp>#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
Classes
class MCHullWhiteCapFloorEngine< RNG, S >Monte Carlo Hull-White engine for cap/floors.
class MakeMCHullWhiteCapFloorEngine< RNG, S >
Monte Carlo Hull-White cap-floor engine factory.