analytich1hwengine.hpp File Reference

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>

Include dependency graph for analytich1hwengine.hpp:

Classes
class	AnalyticH1HWEngine
	Analytic Heston-Hull-White engine based on the H1-HW approximation. More...

Namespaces
	QuantLib

Detailed Description

analytic Heston-Hull-White engine based on the H1-HW approximation