CFL
Namespaces | Functions
HullWhiteModel.hpp File Reference

Implementation of Hull and White model. More...

#include "cfl/HullWhiteData.hpp"
#include "cfl/Brownian.hpp"
#include "cfl/InterestRateModel.hpp"
#include "cfl/Inline/iHullWhiteModel.hpp"
Include dependency graph for HullWhiteModel.hpp:

Go to the source code of this file.

Namespaces

 cfl
 Main namespace for cfl library.
 
 cfl::HullWhite
 Hull and White model for interest rates.
 

Functions

InterestRateModel cfl::HullWhite::model (const Data &rData, double dInterval, double dQuality)
 
InterestRateModel cfl::HullWhite::model (const Data &rData, double dInterval, double dQuality, double dPathDependQuality)
 
InterestRateModel cfl::HullWhite::model (const Data &rData, double dInterval, const Brownian &rBrownian, const Approx &rApprox)
 
InterestRateModel cfl::HullWhite::model (const Data &rData, double dInterval, const Brownian &rBrownian, const Extended &rExtended)
 

Detailed Description

Author
Dmitry Kramkov
Date
2000-2006

Contains the implementation of Hull and White model for interest rates.