AnalyticHestonHullWhiteEngine (3) Linux Manual Page

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

Generated automatically by Doxygen for QuantLib from the source code.