hullwhite.hpp File Reference

Hull & White (HW) model. More...

#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
#include <utility>

Go to the source code of this file.

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...
class	HullWhite::FittingParameter::Impl

Namespaces
namespace	QuantLib

Detailed Description

Hull & White (HW) model.

Definition in file hullwhite.hpp.