QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
AnalyticBSMHullWhiteEngine Class Reference

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

#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
 
- Public Member Functions inherited from GenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results >
 GenericModelEngine (const Handle< HullWhite > &model=Handle< HullWhite >())
 
 GenericModelEngine (const boost::shared_ptr< HullWhite > &model)
 
- Public Member Functions inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results >
Handle< HullWhitemodel_
 
- Protected Attributes inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results >
VanillaOption::arguments arguments_
 
VanillaOption::results results_
 

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