AnalyticBSMHullWhite
Subtype of Pricing MethodCorresponds to the QuantLib AnalyticBSMHullWhiteEngine.
2-factor model, with a closed-form solution, driven by stochastic underlying price and interest rates.
In particular, the underlying price is modelled to follow a Black-Scholes type, lognormal diffusion whereas the interest rate is modelled according to Hull White Model
The two processes are correlated with a given flat correlation number.