QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <analyticeuropeanvasicekengine.hpp>
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_ |
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.
AnalyticBlackVasicekEngine | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | blackProcess, |
ext::shared_ptr< Vasicek > | vasicekProcess, | ||
Real | correlation | ||
) |
Definition at line 52 of file analyticeuropeanvasicekengine.cpp.
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override |
Definition at line 62 of file analyticeuropeanvasicekengine.cpp.
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private |
Definition at line 46 of file analyticeuropeanvasicekengine.hpp.
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private |
Definition at line 47 of file analyticeuropeanvasicekengine.hpp.
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private |
Definition at line 48 of file analyticeuropeanvasicekengine.hpp.
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private |
Definition at line 49 of file analyticeuropeanvasicekengine.hpp.