Bond Option pricing in Hull White Model [Quantlib C++]

Category: Quantlib	View Full Details
Bond Option pricing in Hull White Model
Submitter: vanna	Date: 2008/6/4

Description: This snippet demonstrates how to price a bond option in Hull white model. Assumed a flat forward yield of 0.05, and the option priced starts at 2nd year/ends at 5th year Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
957 0 bytes Quantlib C++ http://www.quantcode.com
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