quantlib.pricingengines.swaption.fdhullwhite_swaption_engine.FdHullWhiteSwaptionEngine

class FdHullWhiteSwaptionEngine(HullWhite model, Size t_grid=100, Size x_grid=100, Size damping_steps=0, Real inv_eps=1e-5, FdmSchemeDesc scheme=FdmSchemeDesc.Douglas())

Bases: PricingEngine

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)