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

#include <ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp>

Inheritance diagram for AnalyticBSMHullWhiteEngine:

Collaboration diagram for AnalyticBSMHullWhiteEngine:

Public Member Functions
	AnalyticBSMHullWhiteEngine (Real equityShortRateCorrelation, ext::shared_ptr< GeneralizedBlackScholesProcess >, const ext::shared_ptr< HullWhite > &)

void	calculate () const override

Public Member Functions inherited from GenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results >
	GenericModelEngine (Handle< HullWhite > model=Handle< HullWhite >())

	GenericModelEngine (const ext::shared_ptr< HullWhite > &model)

Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Private Attributes
Real	rho_

ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from GenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results >
Handle< HullWhite >	model_

Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType	arguments_

ResultsType	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

Definition at line 45 of file analyticbsmhullwhiteengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticBSMHullWhiteEngine()

AnalyticBSMHullWhiteEngine	(	Real	equityShortRateCorrelation,
		ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		const ext::shared_ptr< HullWhite > &	model
	)