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

#include <qle/pricingengines/analyticeuropeanforwardengine.hpp>

Inheritance diagram for AnalyticEuropeanForwardEngine:

Collaboration diagram for AnalyticEuropeanForwardEngine:

Public Member Functions
	AnalyticEuropeanForwardEngine (const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &)

	AnalyticEuropeanForwardEngine (const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &process, const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve)

void	calculate () const override

Private Attributes
QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess >	process_

QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_

Detailed Description

Pricing engine for European vanilla forward options using analytical formulae.

Definition at line 53 of file analyticeuropeanforwardengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticEuropeanForwardEngine() [1/2]

AnalyticEuropeanForwardEngine ( const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > & process )

explicit

This constructor triggers the usual calculation, in which the risk-free rate in the given process is used for both forecasting and discounting.

Definition at line 60 of file analyticeuropeanforwardengine.cpp.

    : process_(process) {
        registerWith(process_);
    }

◆ AnalyticEuropeanForwardEngine() [2/2]

AnalyticEuropeanForwardEngine	(	const QuantLib::ext::shared_ptr< QuantLib::GeneralizedBlackScholesProcess > &	process,
		const QuantLib::Handle< QuantLib::YieldTermStructure > &	discountCurve
	)

This constructor allows to use a different term structure for discounting the payoff. As usual, the risk-free rate from the given process is used for forecasting the forward price.

Definition at line 66 of file analyticeuropeanforwardengine.cpp.

    : process_(process), discountCurve_(discountCurve) {
        registerWith(process_);
        registerWith(discountCurve_);
    }

Member Function Documentation

◆ calculate()

void calculate ( ) const

override

Definition at line 74 of file analyticeuropeanforwardengine.cpp.

                                                        {
 
        // if the discount curve is not specified, we default to the
        // risk free rate curve embedded within the GBM process
        QuantLib::ext::shared_ptr<YieldTermStructure> discountPtr = 
            discountCurve_.empty() ? 
            process_->riskFreeRate().currentLink() :
            discountCurve_.currentLink();
 
        QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
                   "not an European option");
 
        QuantLib::ext::shared_ptr<StrikedTypePayoff> payoff =
            QuantLib::ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
        QL_REQUIRE(payoff, "non-striked payoff given");
 
        Real variance =
            process_->blackVolatility()->blackVariance(
                                              arguments_.exercise->lastDate(),
                                              payoff->strike());
        DiscountFactor dividendDiscount =
            process_->dividendYield()->discount(
                                             arguments_.forwardDate);
        DiscountFactor df;
        if (arguments_.paymentDate != Date())
            df = discountPtr->discount(arguments_.paymentDate);
        else
            df = discountPtr->discount(arguments_.exercise->lastDate());
        DiscountFactor riskFreeDiscountForFwdEstimation =
            process_->riskFreeRate()->discount(arguments_.forwardDate);
        Real spot = process_->stateVariable()->value();
        QL_REQUIRE(spot > 0.0, "negative or null underlying given");
        Real forwardPrice = spot * dividendDiscount / riskFreeDiscountForFwdEstimation;
 
        QuantLib::BlackCalculator black(payoff, forwardPrice, std::sqrt(variance),df);
 
 
        results_.value = black.value();
        results_.delta = black.delta(spot);
        results_.deltaForward = black.deltaForward();
        results_.elasticity = black.elasticity(spot);
        results_.gamma = black.gamma(spot);
 
        DayCounter rfdc  = discountPtr->dayCounter();
        DayCounter divdc = process_->dividendYield()->dayCounter();
        DayCounter voldc = process_->blackVolatility()->dayCounter();
        Time t = rfdc.yearFraction(process_->riskFreeRate()->referenceDate(),
                                   arguments_.exercise->lastDate());
        results_.rho = black.rho(t);
 
        t = divdc.yearFraction(process_->dividendYield()->referenceDate(),
                               arguments_.exercise->lastDate());
        results_.dividendRho = black.dividendRho(t);
 
        t = voldc.yearFraction(process_->blackVolatility()->referenceDate(),
                               arguments_.exercise->lastDate());
        results_.vega = black.vega(t);
        try {
            results_.theta = black.theta(spot, t);
            results_.thetaPerDay =
                black.thetaPerDay(spot, t);
        } catch (Error&) {
            results_.theta = Null<Real>();
            results_.thetaPerDay = Null<Real>();
        }
 
        results_.strikeSensitivity  = black.strikeSensitivity();
        results_.itmCashProbability = black.itmCashProbability();
 
        Real tte = process_->blackVolatility()->timeFromReference(arguments_.exercise->lastDate());
        results_.additionalResults["spot"] = spot;
        results_.additionalResults["dividendDiscount"] = dividendDiscount;
        results_.additionalResults["riskFreeDiscount"] = riskFreeDiscountForFwdEstimation;
        results_.additionalResults["forward"] = forwardPrice;
        results_.additionalResults["strike"] = payoff->strike();
        results_.additionalResults["volatility"] = std::sqrt(variance / tte);
        results_.additionalResults["timeToExpiry"] = tte;
        results_.additionalResults["discountFactor"] = df;
    }

Here is the call graph for this function:

Member Data Documentation

◆ process_

QuantLib::ext::shared_ptr<QuantLib::GeneralizedBlackScholesProcess> process_

private

Definition at line 72 of file analyticeuropeanforwardengine.hpp.

◆ discountCurve_

QuantLib::Handle<QuantLib::YieldTermStructure> discountCurve_