protected override IPricingEngine controlPricingEngine()
{
HybridHestonHullWhiteProcess process = process_ as HybridHestonHullWhiteProcess;
Utils.QL_REQUIRE(process != null, () => "invalid process");
HestonProcess hestonProcess = process.hestonProcess();
HullWhiteForwardProcess hullWhiteProcess = process.hullWhiteProcess();
HestonModel hestonModel = new HestonModel(hestonProcess);
HullWhite hwModel = new HullWhite(hestonProcess.riskFreeRate(),
hullWhiteProcess.a(),
hullWhiteProcess.sigma());
return(new AnalyticHestonHullWhiteEngine(hestonModel, hwModel, 144));
}
