AnalyticEuropeanEngine Class Reference

Pricing engine for European vanilla options using analytical formulae. More...

#include <qle/pricingengines/analyticeuropeanengine.hpp>

Inheritance diagram for AnalyticEuropeanEngine:

Collaboration diagram for AnalyticEuropeanEngine:

Public Member Functions
	AnalyticEuropeanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > gbsp, const bool flipResults=false)
	AnalyticEuropeanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Handle< YieldTermStructure > discountCurve, const bool flipResults=false)
void	calculate () const override

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Handle< YieldTermStructure >	discountCurve_
bool	flipResults_

Detailed Description

Pricing engine for European vanilla options using analytical formulae.

Definition at line 36 of file analyticeuropeanengine.hpp.

Constructor & Destructor Documentation

AnalyticEuropeanEngine() [1/2]

AnalyticEuropeanEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  gbsp, const bool  flipResults = false  )

explicit

Definition at line 38 of file analyticeuropeanengine.hpp.

        : QuantLib::AnalyticEuropeanEngine(gbsp), flipResults_(flipResults) {}

AnalyticEuropeanEngine() [2/2]

AnalyticEuropeanEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		Handle< YieldTermStructure >	discountCurve,
		const bool	flipResults = false
	)

Definition at line 41 of file analyticeuropeanengine.hpp.

        : QuantLib::AnalyticEuropeanEngine(process, discountCurve), flipResults_(flipResults) {}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 31 of file analyticeuropeanengine.cpp.

                                             {
 
    QuantLib::AnalyticEuropeanEngine::calculate();
 
    if (flipResults_) {
 
        // Invert strike, spot, forward
 
        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, discountFactor stays what it is
 
        Real rfDiscount = Null<Real>();
        Real divDiscount = Null<Real>();
 
        if (auto tmp = results_.additionalResults.find("riskFreeDiscount"); tmp != results_.additionalResults.end())
            rfDiscount = boost::any_cast<Real>(tmp->second);
        if (auto tmp = results_.additionalResults.find("dividendDiscount"); tmp != results_.additionalResults.end())
            divDiscount = boost::any_cast<Real>(tmp->second);
 
       results_.additionalResults["riskFreeDiscount"] = divDiscount;
       results_.additionalResults["dividendDiscount"] = rfDiscount;
 
    }
}

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 47 of file analyticeuropeanengine.hpp.

discountCurve_

Handle<YieldTermStructure> discountCurve_

private

Definition at line 48 of file analyticeuropeanengine.hpp.

flipResults_

bool flipResults_

private

Definition at line 49 of file analyticeuropeanengine.hpp.