QuantLib_AnalyticBSMHullWhiteEngine (3) Linux Manual Page

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

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