AnalyticBlackVasicekEngine Class Reference

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

Public Member Functions
	AnalyticBlackVasicekEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, ext::shared_ptr< Vasicek >, Real correlation)
void	calculate () const override

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