analyticbsmhullwhiteengine.hpp

Langue: en

Autres versions - même langue

Version: 158129 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

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.