Pricing engine for cash settled European vanilla options using analytical formulae. More...
#include <qle/pricingengines/analyticcashsettledeuropeanengine.hpp>
Public Member Functions | |
AnalyticCashSettledEuropeanEngine (const boost::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &bsp) | |
AnalyticCashSettledEuropeanEngine (const boost::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &bsp, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve) | |
PricingEngine interface | |
void | calculate () const override |
Pricing engine for cash settled European vanilla options using analytical formulae.
AnalyticCashSettledEuropeanEngine | ( | const boost::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > & | bsp | ) |
The risk-free rate in the given process bsp
is used for both forecasting and discounting.
AnalyticCashSettledEuropeanEngine | ( | const boost::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > & | bsp, |
const QuantLib::Handle< QuantLib::YieldTermStructure > & | discountCurve | ||
) |
As usual, the risk-free rate from the given process bsp
is used for forecasting the forward price. The discountCurve
is used for discounting.