Pricing engine for cash settled European vanilla options using analytical formulae. More...

#include <qle/pricingengines/analyticcashsettledeuropeanengine.hpp>

Inheritance diagram for AnalyticCashSettledEuropeanEngine:

Public Member Functions
	AnalyticCashSettledEuropeanEngine (const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &bsp, const bool flipResults=false, QuantLib::DiffusionModelType model=QuantLib::DiffusionModelType::AsInputVolatilityType, const double displacement=0.0)
	AnalyticCashSettledEuropeanEngine (const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &bsp, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const bool flipResults=false, QuantLib::DiffusionModelType model=QuantLib::DiffusionModelType::AsInputVolatilityType, const double displacement=0.0)

PricingEngine interface
void	calculate () const override

Detailed Description

Pricing engine for cash settled European vanilla options using analytical formulae.

Constructor & Destructor Documentation

AnalyticCashSettledEuropeanEngine	(	const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &	bsp,
		const bool	flipResults = false,
		QuantLib::DiffusionModelType	model = QuantLib::DiffusionModelType::AsInputVolatilityType,
		const double	displacement = 0.0 )

The risk-free rate in the given process bsp is used for both forecasting and discounting.

AnalyticCashSettledEuropeanEngine	(	const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &	bsp,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve,
		const bool	flipResults = false,
		QuantLib::DiffusionModelType	model = QuantLib::DiffusionModelType::AsInputVolatilityType,
		const double	displacement = 0.0 )

As usual, the risk-free rate from the given process bsp is used for forecasting the forward price. The discountCurve is used for discounting.