Discounting Equity Forward Engine. More...
#include <qle/pricingengines/discountingequityforwardengine.hpp>
Public Member Functions | |
DiscountingEquityForwardEngine (const Handle< YieldTermStructure > &equityInterestRateCurve, const Handle< YieldTermStructure > ÷ndYieldCurve, const Handle< Quote > &equitySpot, const Handle< YieldTermStructure > &discountCurve, boost::optional< bool > includeSettlementDateFlows=boost::none, const Date &settlementDate=Date(), const Date &npvDate=Date()) | |
void | calculate () const override |
const Handle< YieldTermStructure > & | equityReferenceRateCurve () const |
const Handle< YieldTermStructure > & | divYieldCurve () const |
const Handle< YieldTermStructure > & | discountCurve () const |
const Handle< Quote > & | equitySpot () const |
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
DiscountingEquityForwardEngine | ( | const Handle< YieldTermStructure > & | equityInterestRateCurve, |
const Handle< YieldTermStructure > & | dividendYieldCurve, | ||
const Handle< Quote > & | equitySpot, | ||
const Handle< YieldTermStructure > & | discountCurve, | ||
boost::optional< bool > | includeSettlementDateFlows = boost::none , |
||
const Date & | settlementDate = Date() , |
||
const Date & | npvDate = Date() |
||
) |
equityInterestRateCurve | The IR rate curve for estimating forward price. |
dividendYieldCurve | The dividend yield term structure for estimating forward price. |
equitySpot | The market spot rate quote. |
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 |