mchestonhullwhiteengine.hpp

Langue: en

Autres versions - même langue

Version: 374391 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp -

Monte Carlo vanilla option engine for stochastic interest rates.

SYNOPSIS


#include <ql/processes/hestonprocess.hpp>
#include <ql/processes/hullwhiteprocess.hpp>
#include <ql/processes/hybridhestonhullwhiteprocess.hpp>
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>

Classes


class MakeMCHestonHullWhiteEngine< RNG, S >
Monte Carlo Heston/Hull-White engine factory.

Detailed Description

Monte Carlo vanilla option engine for stochastic interest rates.

Author

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