analyticbsmhullwhiteengine (3) - Linux Man Pages

analyticbsmhullwhiteengine: analytic Black-Scholes engines including stochastic interest rates

NAME

ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp - analytic Black-Scholes engines including stochastic interest rates

SYNOPSIS


#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes


class AnalyticBSMHullWhiteEngine
analytic european option pricer including stochastic interest rates

Detailed Description

analytic Black-Scholes engines including stochastic interest rates

Author

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