Hull White n factor parametrization. More...
#include <qle/models/parametrization.hpp>
#include <ql/handle.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/math/array.hpp>
#include <ql/math/matrix.hpp>
Classes | |
class | HwParametrization< TS > |
HW nF Parametrization with m driving Brownian motions. More... | |
Typedefs | |
typedef HwParametrization< YieldTermStructure > | IrHwParametrization |
Hull White n factor parametrization.