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 boost::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &)
	AnalyticEuropeanForwardEngine (const boost::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &process, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve)
void	calculate () const override

Detailed Description

Pricing engine for European vanilla forward options using analytical formulae.

Constructor & Destructor Documentation

AnalyticEuropeanForwardEngine() [1/2]

AnalyticEuropeanForwardEngine ( const boost::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &  )

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 boost::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &	process,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve
	)

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.