AnalyticBSMHullWhiteEngine Class Reference

analytic european option pricer including stochastic interest rates More...

#include <ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp>

Inheritance diagram for AnalyticBSMHullWhiteEngine:

List of all members.

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