AnalyticEuropeanForwardEngine Class Reference

Pricing engine for European vanilla forward options using analytical formulae. More...

#include <qle/pricingengines/analyticeuropeanforwardengine.hpp>

Inheritance diagram for AnalyticEuropeanForwardEngine:

Public Member Functions
	AnalyticEuropeanForwardEngine (const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &, const QuantLib::DiffusionModelType modelType=QuantLib::DiffusionModelType::AsInputVolatilityType, const QuantLib::Real displacement=0.0)
	AnalyticEuropeanForwardEngine (const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &process, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::DiffusionModelType modelType=QuantLib::DiffusionModelType::AsInputVolatilityType, const QuantLib::Real displacement=0.0)
void	calculate () const override

Detailed Description

Pricing engine for European vanilla forward options using analytical formulae.

Constructor & Destructor Documentation

AnalyticEuropeanForwardEngine() [1/2]

AnalyticEuropeanForwardEngine ( const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > & , const QuantLib::DiffusionModelType modelType = QuantLib::DiffusionModelType::AsInputVolatilityType, const QuantLib::Real displacement = 0.0 )

explicit

This constructor triggers the usual calculation, in which the risk-free rate in the given process is used for both forecasting and discounting.

AnalyticEuropeanForwardEngine() [2/2]

AnalyticEuropeanForwardEngine	(	const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &	process,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve,
		const QuantLib::DiffusionModelType	modelType = QuantLib::DiffusionModelType::AsInputVolatilityType,
		const QuantLib::Real	displacement = 0.0 )

This constructor allows to use a different term structure for discounting the payoff. As usual, the risk-free rate from the given process is used for forecasting the forward price.