QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
analyticbsmhullwhiteengine.hpp File Reference

analytic Black-Scholes engines including stochastic interest rates More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Go to the source code of this file.

Classes

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

Namespaces

namespace  QuantLib
 

Detailed Description

analytic Black-Scholes engines including stochastic interest rates

Definition in file analyticbsmhullwhiteengine.hpp.