analytic Heston-Hull-White engine based on the H1-HW approximation More...
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
Classes | |
class | AnalyticH1HWEngine |
Analytic Heston-Hull-White engine based on the H1-HW approximation. More... | |
Namespaces | |
QuantLib | |
analytic Heston-Hull-White engine based on the H1-HW approximation