Rechercher une page de manuel
QuantLib_AnalyticBSMHullWhiteEngine
Langue: en
Version: 167962 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::AnalyticBSMHullWhiteEngine - analytic european option pricer including stochastic interest ratesSYNOPSIS
#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
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre