Wrapper engine for the QuantLib engine to take settlement delay into account. More...

#include <qle/pricingengines/analyticdoublebarrierengine.hpp>

Inheritance diagram for AnalyticDoubleBarrierEngine:

Collaboration diagram for AnalyticDoubleBarrierEngine:

Public Member Functions
	AnalyticDoubleBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, const Date &paymentDate, int series=5)

void	calculate () const override

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Date	paymentDate_

Detailed Description

Wrapper engine for the QuantLib engine to take settlement delay into account.

Definition at line 36 of file analyticdoublebarrierengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticDoubleBarrierEngine()

AnalyticDoubleBarrierEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		const Date &	paymentDate,
		int	series = `5`
	)

Definition at line 27 of file analyticdoublebarrierengine.cpp.

    : QuantLib::AnalyticDoubleBarrierEngine(process, series), process_(std::move(process)), paymentDate_(paymentDate) {
    registerWith(process_);
}

Member Function Documentation

◆ calculate()

void calculate ( ) const

override

Definition at line 33 of file analyticdoublebarrierengine.cpp.

                                                  {
    QuantLib::AnalyticDoubleBarrierEngine::calculate();
 
    // If a payDate was provided (and is greater than the expiryDate)
    if (paymentDate_ > arguments_.exercise->lastDate()) {
        Rate payDateDiscount = process_->riskFreeRate()->discount(paymentDate_);
        Rate expiryDateDiscount = process_->riskFreeRate()->discount(arguments_.exercise->lastDate());
        Rate factor = payDateDiscount / expiryDateDiscount;
        results_.value *= factor;
    }
 
    if (paymentDate_ != Date())
        results_.additionalResults["settlementDate"] = paymentDate_;
}

Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 43 of file analyticdoublebarrierengine.hpp.

◆ paymentDate_

Date paymentDate_