analyticeuropeanvasicekengine.hpp

Go to the documentation of this file.

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2020 Lew Wei Hao
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_analytic_black_vasicek_engine_hpp
#define quantlib_analytic_black_vasicek_engine_hpp
 
#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
#include <ql/math/integrals/integral.hpp>
 
namespace QuantLib {
 
    /**
     *
     * Pricing of Vanilla European options under stochastic Vasicek interest rate model
     * Analytical solution is based on following research paper:
     *
     * http://hsrm-mathematik.de/WS201516/master/option-pricing/Black-Scholes-Vasicek-Model.pdf
     */
 
    class AnalyticBlackVasicekEngine : public VanillaOption::engine {
      public:
        AnalyticBlackVasicekEngine(ext::shared_ptr<GeneralizedBlackScholesProcess>,
                                   ext::shared_ptr<Vasicek>,
                                   Real correlation);
        void calculate() const override;
 
      private:
        ext::shared_ptr<GeneralizedBlackScholesProcess> blackProcess_;
        ext::shared_ptr<Vasicek> vasicekProcess_;
        ext::shared_ptr<Integrator> simpsonIntegral_;
        Real correlation_;
    };
 
}
 
#endif