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Sourcecode: quantlib version File versions

hullwhite.hpp File Reference

Detailed Description

Hull & White (HW) model.

Definition in file hullwhite.hpp.

#include <ql/ShortRateModels/OneFactorModels/vasicek.hpp>

Go to the source code of this file.


namespace  QuantLib


class  QuantLib::HullWhite
 Single-factor Hull-White (extended Vasicek) model class. More...
class  QuantLib::HullWhite::Dynamics
 Short-rate dynamics in the Hull-White model. More...
class  QuantLib::HullWhite::FittingParameter
 Analytical term-structure fitting parameter $ \varphi(t) $. More...
class  QuantLib::HullWhite::FittingParameter::Impl

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