AnalyticBSMHullWhiteEngine (3) Linux Manual Page

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

Generated automatically by Doxygen for QuantLib from the source code.