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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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FDM operator for the Hull-White interest rate model. More...
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>Go to the source code of this file.
Classes | |
| class | FdmHullWhiteOp |
Namespaces | |
| namespace | QuantLib |
FDM operator for the Hull-White interest rate model.
Definition in file fdmhullwhiteop.hpp.