Analytic pricing engine for American vanilla options with digital payoff. More...

#include <qle/pricingengines/analyticdigitalamericanengine.hpp>

Inheritance diagram for AnalyticDigitalAmericanEngine:

Collaboration diagram for AnalyticDigitalAmericanEngine:

Public Member Functions
	AnalyticDigitalAmericanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, const QuantLib::Date &payDate, const bool flipResults=false)

void	calculate () const override

virtual bool	knock_in () const override

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

QuantLib::Date	payDate_

bool	flipResults_

Detailed Description

Analytic pricing engine for American vanilla options with digital payoff.

Definition at line 37 of file analyticdigitalamericanengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticDigitalAmericanEngine()

AnalyticDigitalAmericanEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		const QuantLib::Date &	payDate,
		const bool	flipResults = `false`
	)

Definition at line 39 of file analyticdigitalamericanengine.hpp.

        : QuantLib::AnalyticDigitalAmericanEngine(process), process_(std::move(process)), payDate_(payDate),
          flipResults_(flipResults) {
        registerWith(process_);
    }

Member Function Documentation

◆ calculate()

void calculate ( ) const

override

Definition at line 30 of file analyticdigitalamericanengine.cpp.

                                                    {
 
    QuantLib::AnalyticDigitalAmericanEngine::calculate();
 
    // If a payDate was provided (and is greater than the expiryDate)
    if (payDate_ > arguments_.exercise->lastDate()) {
        Rate payDateDiscount = process_->riskFreeRate()->discount(payDate_);
        Rate expiryDateDiscount = process_->riskFreeRate()->discount(arguments_.exercise->lastDate());
        Rate factor = payDateDiscount / expiryDateDiscount;
        results_.value *= factor;
 
        auto discTouchProbIt = results_.additionalResults.find("discountedTouchProbability");
        if (discTouchProbIt != results_.additionalResults.end()) {
            if (knock_in())
                discTouchProbIt->second = boost::any_cast<Real>(discTouchProbIt->second) * factor;
            else
                discTouchProbIt->second = 1.0 - (factor * (1.0 - boost::any_cast<Real>(discTouchProbIt->second)));
        }
    }
 
    if (flipResults_) {
        // Invert spot, forward, strike
        auto resToInvert = vector<string>({"spot", "forward", "strike"});
        for (const string& res : resToInvert) {
            auto it = results_.additionalResults.find(res);
            if (it != results_.additionalResults.end())
                it->second = 1. / boost::any_cast<Real>(it->second);
        }
 
        // Swap riskFreeDiscount and dividendDiscount
        auto rfDiscountIt = results_.additionalResults.find("riskFreeDiscount");
        auto divDiscountIt = results_.additionalResults.find("dividendDiscount");
        if (rfDiscountIt != results_.additionalResults.end() && divDiscountIt != results_.additionalResults.end())
            std::swap(rfDiscountIt->second, divDiscountIt->second);
    }
}