QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
pricingengines
vanilla
analyticeuropeanvasicekengine.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2020 Lew Wei Hao
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_analytic_black_vasicek_engine_hpp
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#define quantlib_analytic_black_vasicek_engine_hpp
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#include <ql/instruments/vanillaoption.hpp>
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#include <ql/processes/blackscholesprocess.hpp>
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#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
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#include <ql/math/integrals/integral.hpp>
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namespace
QuantLib
{
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class
AnalyticBlackVasicekEngine
:
public
VanillaOption::engine
{
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public
:
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AnalyticBlackVasicekEngine
(ext::shared_ptr<GeneralizedBlackScholesProcess>,
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ext::shared_ptr<Vasicek>,
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Real
correlation);
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void
calculate
()
const override
;
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private
:
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ext::shared_ptr<GeneralizedBlackScholesProcess>
blackProcess_
;
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ext::shared_ptr<Vasicek>
vasicekProcess_
;
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ext::shared_ptr<Integrator>
simpsonIntegral_
;
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Real
correlation_
;
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};
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}
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#endif
QuantLib::AnalyticBlackVasicekEngine
Definition:
analyticeuropeanvasicekengine.hpp:38
QuantLib::AnalyticBlackVasicekEngine::vasicekProcess_
ext::shared_ptr< Vasicek > vasicekProcess_
Definition:
analyticeuropeanvasicekengine.hpp:47
QuantLib::AnalyticBlackVasicekEngine::simpsonIntegral_
ext::shared_ptr< Integrator > simpsonIntegral_
Definition:
analyticeuropeanvasicekengine.hpp:48
QuantLib::AnalyticBlackVasicekEngine::calculate
void calculate() const override
Definition:
analyticeuropeanvasicekengine.cpp:62
QuantLib::AnalyticBlackVasicekEngine::blackProcess_
ext::shared_ptr< GeneralizedBlackScholesProcess > blackProcess_
Definition:
analyticeuropeanvasicekengine.hpp:46
QuantLib::AnalyticBlackVasicekEngine::correlation_
Real correlation_
Definition:
analyticeuropeanvasicekengine.hpp:49
QuantLib::OneAssetOption::engine
Definition:
oneassetoption.hpp:82
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
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