QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
AnalyticBlackVasicekEngine Class Reference

#include <ql/pricingengines/vanilla/analyticeuropeanvasicekengine.hpp>

Inherits engine.

Public Member Functions

 AnalyticBlackVasicekEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &, const ext::shared_ptr< Vasicek > &, Real correlation)
 
void calculate () const
 

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