QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

HullWhite Class Reference #include <hullwhite.hpp> Inheritance diagram for HullWhite: [legend]List of all members. Detailed Description Single-factor Hull-White (extended Vasicek) model class. This class implements the standard single-factor Hull-White model defined by where and are constants. Public Member Functions   HullWhite (const RelinkableHandle< TermStructure > &termStructure, double a=0.1, double sigma=0.01) Handle< Lattices::Lattice >  tree (const TimeGrid &grid) const   Return by default a trinomial recombining tree. Handle< ShortRateDynamics >  dynamics () const   returns the short-rate dynamics double  discountBondOption (Option::Type type, double strike, Time maturity, Time bondMaturity) const Protected Member Functions void  generateArguments () double  A (Time t, Time T) const The documentation for this class was generated from the following files: ql/ShortRateModels/OneFactorModels/hullwhite.hpp ql/ShortRateModels/OneFactorModels/hullwhite.cpp

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