AnalyticBlackVasicekEngine Class Reference

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

Inheritance diagram for AnalyticBlackVasicekEngine:

Collaboration diagram for AnalyticBlackVasicekEngine:

Public Member Functions
	AnalyticBlackVasicekEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, ext::shared_ptr< Vasicek >, Real correlation)
void	calculate () const override

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	blackProcess_
ext::shared_ptr< Vasicek >	vasicekProcess_
ext::shared_ptr< Integrator >	simpsonIntegral_
Real	correlation_

Detailed Description

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

Definition at line 38 of file analyticeuropeanvasicekengine.hpp.

Constructor & Destructor Documentation

AnalyticBlackVasicekEngine()

AnalyticBlackVasicekEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	blackProcess,
		ext::shared_ptr< Vasicek >	vasicekProcess,
		Real	correlation
	)

Definition at line 52 of file analyticeuropeanvasicekengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 62 of file analyticeuropeanvasicekengine.cpp.

Member Data Documentation

blackProcess_

ext::shared_ptr<GeneralizedBlackScholesProcess> blackProcess_

private

Definition at line 46 of file analyticeuropeanvasicekengine.hpp.

vasicekProcess_

ext::shared_ptr<Vasicek> vasicekProcess_

private

Definition at line 47 of file analyticeuropeanvasicekengine.hpp.

simpsonIntegral_

ext::shared_ptr<Integrator> simpsonIntegral_

private

Definition at line 48 of file analyticeuropeanvasicekengine.hpp.

correlation_

Real correlation_

private

Definition at line 49 of file analyticeuropeanvasicekengine.hpp.