QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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analyticbsmhullwhiteengine.cpp File Reference
#include <ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <utility>

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Namespaces

namespace  QuantLib
 

Variable Documentation

◆ varianceOffset_

const Real varianceOffset_
private

Definition at line 60 of file analyticbsmhullwhiteengine.cpp.

◆ volTS_

const Handle<BlackVolTermStructure> volTS_
private

Definition at line 61 of file analyticbsmhullwhiteengine.cpp.