![]() QuantLib 0.3.11Getting startedReference manual |
HullWhite Class Reference |
Public Member Functions | |
HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) | |
boost::shared_ptr< NumericalMethod > | tree (const TimeGrid &grid) const |
Return by default a trinomial recombining tree. | |
boost::shared_ptr< ShortRateDynamics > | dynamics () const |
returns the short-rate dynamics | |
Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
Protected Member Functions | |
void | generateArguments () |
Real | A (Time t, Time T) const |
Classes | |
class | Dynamics |
Short-rate dynamics in the Hull-White model. More... | |
class | FittingParameter |
Analytical term-structure fitting parameter ![]() |
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