Monte Carlo vanilla option engine for stochastic interest rates. More...
#include <ql/processes/hestonprocess.hpp>#include <ql/processes/hullwhiteprocess.hpp>#include <ql/processes/hybridhestonhullwhiteprocess.hpp>#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
Classes | |
| class | MakeMCHestonHullWhiteEngine< RNG, S > |
| Monte Carlo Heston/Hull-White engine factory. More... | |
Monte Carlo vanilla option engine for stochastic interest rates.