Class HullWhiteSwaptionPhysicalProductPricer


  • public class HullWhiteSwaptionPhysicalProductPricer
    extends java.lang.Object
    Pricer for swaption with physical settlement in Hull-White one factor model with piecewise constant volatility.

    Reference: Henrard, M. "The Irony in the derivatives discounting Part II: the crisis", Wilmott Journal, 2010, 2, 301-316