AnalyticCashSettledEuropeanEngine Class Reference

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)
	AnalyticCashSettledEuropeanEngine (const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &bsp, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve)

PricingEngine interface
void	calculate () const override

Detailed Description

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

Constructor & Destructor Documentation

AnalyticCashSettledEuropeanEngine() [1/2]

AnalyticCashSettledEuropeanEngine

(

const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &

bsp

)

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

AnalyticCashSettledEuropeanEngine() [2/2]

AnalyticCashSettledEuropeanEngine	(	const QuantLib::ext::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.