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 $ \varphi(t) $. More...