ql/ShortRateModels/OneFactorModels/hullwhite.hpp File Reference


Detailed Description

Hull & White (HW) model.

#include <ql/ShortRateModels/OneFactorModels/vasicek.hpp>

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Namespaces

namespace  QuantLib

Classes

class  HullWhite
 Single-factor Hull-White (extended Vasicek) model class. More...
class  HullWhite::Dynamics
 Short-rate dynamics in the Hull-White model. More...
class  HullWhite::FittingParameter
 Analytical term-structure fitting parameter $ \varphi(t) $. More...

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