public AnalyticHestonHullWhiteEngine(HestonModel hestonModel,
HullWhite hullWhiteModel,
double relTolerance, int maxEvaluations)
: base(hestonModel, relTolerance, maxEvaluations)
{
hullWhiteModel_ = hullWhiteModel;
update();
hullWhiteModel_.registerWith(update);
}
// see AnalticHestonEninge for usage of different constructors
public AnalyticHestonHullWhiteEngine(HestonModel hestonModel,
HullWhite hullWhiteModel,
int integrationOrder = 144)
: base(hestonModel, integrationOrder)
{
hullWhiteModel_ = hullWhiteModel;
update();
hullWhiteModel_.registerWith(update);
}
