ql/models/shortrate/onefactormodels/hullwhite.hpp File Reference
Detailed Description
Hull & White (HW) model.
#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
Include dependency graph for hullwhite.hpp:

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 ![]() |