CFL
HullWhiteModel.hpp
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1 //Copyright (c) Dmitry Kramkov, 2000-2006. All rights reserved.
2 
3 #ifndef __cflHullWhiteModel_hpp__
4 #define __cflHullWhiteModel_hpp__
5 
16 #include "cfl/HullWhiteData.hpp"
17 #include "cfl/Brownian.hpp"
19 
20 namespace cfl
21 {
22  namespace HullWhite
23  {
25 
26 
35  InterestRateModel model(const Data & rData, double dInterval, double dQuality);
36 
48  InterestRateModel model(const Data & rData, double dInterval, double dQuality,
49  double dPathDependQuality);
50 
62  InterestRateModel model(const Data & rData, double dInterval, const Brownian & rBrownian,
63  const Approx & rApprox);
64 
76  InterestRateModel model(const Data & rData, double dInterval, const Brownian & rBrownian,
77  const Extended & rExtended);
78 
80  }
81 }
82 
83 #include "cfl/Inline/iHullWhiteModel.hpp"
84 #endif // of __cflHullWhiteModel_hpp__
Interest rate models.
Basic financial model where the state process is given by a one-dimensional Brownian motion...
InterestRateModel model(const Data &rData, double dInterval, double dQuality)
Main namespace for cfl library.
Definition: Approx.hpp:22
Parameters of Hull and White model.