Examples of HullWhiteProcess


Examples of org.jquantlib.processes.HullWhiteProcess

        //              "Method                                       European      Bermudan      American      ";
        //              "12345678901234567890123456789012345678901234 123.567890123 123.567890123 123.567890123";
        final String fmt    = "%34s %13.9f %13.9f %13.9f\n";
        final String fmttbd = "%34s %13.9f %13.9f %13.9f  (TO BE DONE)\n";

        final StochasticProcess hwProcess = new HullWhiteProcess(flatDividendTS, 0, 0);
        //XXX final BlackScholesMertonProcess bsmProcess = new BlackScholesMertonProcess(underlyingH, flatDividendTS, flatTermStructure, flatVolTS);

        final String method = "CoxRossRubinstein with HullWhite";
        final int timeSteps = 801;
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