class xf::fintech::HullWhiteAnalytic¶

#include "xf_fintech_hullwhite.hpp"


Overview¶

class HullWhiteAnalytic: public xf::fintech::OCLController


Inherited Members¶




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

getLastRunTime¶

long long int getLastRunTime (void)


This method returns the time the execution of the last call to run() took.