mchestonhullwhiteengine (3) - Linux Manuals

mchestonhullwhiteengine: Monte Carlo vanilla option engine for stochastic interest rates.

NAME

ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp - Monte Carlo vanilla option engine for stochastic interest rates.

SYNOPSIS

#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/processes/hybridhestonhullwhiteprocess.hpp>
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>

Detailed Description

Monte Carlo vanilla option engine for stochastic interest rates.

Author

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