- QuantLib
- AnalyticBSMHullWhiteEngine
analytic european option pricer including stochastic interest rates More...
#include <ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp>
Public Member Functions | |
AnalyticBSMHullWhiteEngine (Real equityShortRateCorrelation, const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const boost::shared_ptr< HullWhite > &) | |
void | calculate () const |
analytic european option pricer including stochastic interest rates
References:
Brigo, Mercurio, Interest Rate Models