NAME

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.

Detailed Description

Monte Carlo Hull-White engine for cap/floors.

Author

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