AnalyticBSMHullWhiteEngine Class Reference
[Vanilla option engines]
analytic european option pricer including stochastic interest rates
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#include <ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp>
Inheritance diagram for AnalyticBSMHullWhiteEngine:

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 ratesReferences:
Brigo, Mercurio, Interest Rate Models
- Tests:
- the correctness of the returned value is tested by reproducing results available in web/literature