analytichestonhullwhiteengine (3) - Linux Man Pages

analytichestonhullwhiteengine: analytic heston engine incl. stochastic interest rates

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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