analyticbsmhullwhiteengine(3)
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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