1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2007 Klaus Spanderen
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 /*! \file analyticbsmhullwhiteengine.hpp
21     \brief analytic Black-Scholes engines including stochastic interest rates
22 */
23 
24 #ifndef quantlib_analytic_bsm_hull_white_engine_hpp
25 #define quantlib_analytic_bsm_hull_white_engine_hpp
26 
27 #include <ql/instruments/vanillaoption.hpp>
28 #include <ql/pricingengines/genericmodelengine.hpp>
29 #include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
30 #include <ql/processes/blackscholesprocess.hpp>
31 
32 namespace QuantLib {
33 
34     //! analytic european option pricer including stochastic interest rates
35     /*! References:
36 
37         Brigo, Mercurio, Interest Rate Models
38 
39         \ingroup vanillaengines
40 
41         \test the correctness of the returned value is tested by
42               reproducing results available in web/literature
43     */
44 
45     class AnalyticBSMHullWhiteEngine
46         : public GenericModelEngine<HullWhite,
47                                     VanillaOption::arguments,
48                                     VanillaOption::results> {
49       public:
50         AnalyticBSMHullWhiteEngine(
51                      Real equityShortRateCorrelation,
52                      const ext::shared_ptr<GeneralizedBlackScholesProcess>&,
53                      const ext::shared_ptr<HullWhite>&);
54         void calculate() const;
55       private:
56         Real rho_;
57         ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
58     };
59 
60 }
61 
62 
63 #endif
64