generalizedhullwhite.hpp File Reference

generalized Hull-White model More...

#include <ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <utility>

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Classes
class	InterpolationParameter
	Parameter that holds an interpolation object. More...
class	InterpolationParameter::Impl
class	GeneralizedHullWhite
	Generalized Hull-White model class. More...
class	GeneralizedHullWhite::Dynamics
	Short-rate dynamics in the generalized Hull-White model. More...
struct	GeneralizedHullWhite::Dynamics::identity
class	GeneralizedHullWhite::FittingParameter
	Analytical term-structure fitting parameter \( \varphi(t) \). More...
class	GeneralizedHullWhite::FittingParameter::Impl
class	LinearFlatInterpolation
	Linear interpolation between discrete points with flat extapolation More...
class	LinearFlat
	Linear-interpolation with flat-extrapolation factory and traits More...
class	LinearFlatInterpolationImpl< I1, I2 >

Namespaces
namespace	QuantLib
namespace	QuantLib::detail

Detailed Description

generalized Hull-White model

Definition in file generalizedhullwhite.hpp.