DiscountingEquityForwardEngine Class Reference

Discounting Equity Forward Engine. More...

#include <qle/pricingengines/discountingequityforwardengine.hpp>

Inheritance diagram for DiscountingEquityForwardEngine:

Public Member Functions
	DiscountingEquityForwardEngine (const Handle< EquityIndex2 > &equityIndex, const Handle< YieldTermStructure > &discountCurve, QuantLib::ext::optional< bool > includeSettlementDateFlows=QuantLib::ext::nullopt, const Date &settlementDate=Date(), const Date &npvDate=Date())
void	calculate () const override
const Handle< EquityIndex2 > &	equityIndex () const
const Handle< YieldTermStructure > &	discountCurve () const

Detailed Description

Discounting Equity Forward Engine.

This class implements pricing of Equity Forwards by discounting the future nominal cash flows using the respective yield curves. The forward price is estimated using reference rate and dividend yield curves as input. The cashflows are discounted using a separate discounting curve input.

    \ingroup engines

Constructor & Destructor Documentation

DiscountingEquityForwardEngine()

DiscountingEquityForwardEngine	(	const Handle< EquityIndex2 > &	equityIndex,
		const Handle< YieldTermStructure > &	discountCurve,
		QuantLib::ext::optional< bool >	includeSettlementDateFlows = QuantLib::ext::nullopt,
		const Date &	settlementDate = Date(),
		const Date &	npvDate = Date() )

Parameters

equityIndex	Equity Index structure to calculate forwards.
discountCurve	The discount curve
includeSettlementDateFlows,settlementDate	If includeSettlementDateFlows is true (false), cashflows on the settlementDate are (not) included in the NPV. If not given the settlement date is set to the npv date.
npvDate	Discount to this date. If not given the npv date is set to the evaluation date