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.