24#ifndef quantlib_analytic_bsm_hull_white_engine_hpp
25#define quantlib_analytic_bsm_hull_white_engine_hpp
27#include <ql/instruments/vanillaoption.hpp>
28#include <ql/pricingengines/genericmodelengine.hpp>
29#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
30#include <ql/processes/blackscholesprocess.hpp>
47 VanillaOption::arguments,
48 VanillaOption::results> {
51 ext::shared_ptr<GeneralizedBlackScholesProcess>,
52 const ext::shared_ptr<HullWhite>&);
57 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
analytic european option pricer including stochastic interest rates
void calculate() const override
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Base class for some pricing engine on a particular model.