QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
AnalyticBlackVasicekEngine Class Reference

#include <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< GeneralizedBlackScholesProcessblackProcess_
 
ext::shared_ptr< VasicekvasicekProcess_
 
ext::shared_ptr< IntegratorsimpsonIntegral_
 
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.