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