AnalyticXAssetLgmEquityOptionEngine Class Reference

Analytic cross-asset lgm equity option engine. More...

#include <qle/pricingengines/analyticxassetlgmeqoptionengine.hpp>

Inheritance diagram for AnalyticXAssetLgmEquityOptionEngine:

Public Member Functions
	AnalyticXAssetLgmEquityOptionEngine (const boost::shared_ptr< CrossAssetModel > &model, const Size equityIdx, const Size ccyIdx)
void	calculate () const override
Real	value (const Time t0, const Time t, const boost::shared_ptr< StrikedTypePayoff > payoff, const Real domesticDiscount, const Real eqForward) const

Detailed Description

Analytic cross-asset lgm equity option engine.

This class prices an equity option analytically using the dynamics of a CrossAssetModel. The formula is black-like, with the variance of the underlying equity being dependent upon the dynamics of related interest and FX rates within the CrossAssetModel universe. See the book "Modern Derivatives Pricing and Credit Exposure Analysis" by Lichters, Stamm and Gallagher.

Member Function Documentation

value()

Real value	(	const Time	t0,
		const Time	t,
		const boost::shared_ptr< StrikedTypePayoff >	payoff,
		const Real	domesticDiscount,
		const Real	eqForward
	)		const

the actual option price calculation, exposed to public, since it is useful to directly use the core computation sometimes