analytichestonhullwhiteengine(3)
NAME
ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp – analytic heston engine incl. stochastic interest rates
SYNOPSIS
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
Classes
class AnalyticHestonHullWhiteEngine
Analytic Heston engine incl. stochastic interest rates.
Detailed Description
analytic heston engine incl. stochastic interest rates
Author
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