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 &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from GenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results > | |
| Handle< HullWhite > | model_ |
Protected Attributes inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| VanillaOption::arguments | arguments_ |
| VanillaOption::results | results_ |
analytic european option pricer including stochastic interest rates
References:
Brigo, Mercurio, Interest Rate Models