class xf::fintech::HullWhiteAnalytic¶
#include "xf_fintech_hullwhite.hpp"
Methods¶
run¶
int run ( double a, double sigma, double* times, double* rates, double* t, double* T, double* P )
Calculate one or more options based on input data and option type
Parameters:
a | The mean reversion |
sigma | The volatility |
times | A vector of maturity’s |
rates | A vector of interest rates |
t | A vector of current time t |
T | A vector of maturity time T |
P | Output vector of bond prices |