AnalyticBSMHullWhiteEngine (3) - Linux Manuals

AnalyticBSMHullWhiteEngine: analytic european option pricer including stochastic interest rates

NAME

QuantLib::AnalyticBSMHullWhiteEngine - analytic european option pricer including stochastic interest rates

SYNOPSIS

#include <ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp>

Inherits GenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results >.

Public Member Functions

AnalyticBSMHullWhiteEngine (Real equityShortRateCorrelation, const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const boost::shared_ptr< HullWhite > &)

void calculate () const

Detailed Description

analytic european option pricer including stochastic interest rates

References:

Brigo, Mercurio, Interest Rate Models

Tests

the correctness of the returned value is tested by reproducing results available in web/literature

Author

Generated automatically by Doxygen for QuantLib from the source code.