CommoditySchwartzFutureOptionEngine Class Reference

Commodity options on prompt future (with maturity=expiry) priced in the Schwartz model. More...

#include <qle/pricingengines/commodityschwartzfutureoptionengine.hpp>

Inheritance diagram for CommoditySchwartzFutureOptionEngine:

Collaboration diagram for CommoditySchwartzFutureOptionEngine:

Public Member Functions
	CommoditySchwartzFutureOptionEngine (const QuantLib::ext::shared_ptr< CommoditySchwartzModel > &model)
void	calculate () const override

Private Attributes
QuantLib::ext::shared_ptr< CommoditySchwartzModel >	model_

Detailed Description

Commodity options on prompt future (with maturity=expiry) priced in the Schwartz model.

Definition at line 36 of file commodityschwartzfutureoptionengine.hpp.

Constructor & Destructor Documentation

CommoditySchwartzFutureOptionEngine()

CommoditySchwartzFutureOptionEngine

(

const QuantLib::ext::shared_ptr< CommoditySchwartzModel > &

model

)

Definition at line 25 of file commodityschwartzfutureoptionengine.cpp.

                                                                : model_(model) {}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 28 of file commodityschwartzfutureoptionengine.cpp.

                                                          {
 
    QL_REQUIRE(arguments_.exercise->type() == Exercise::European, "only European options are allowed");
 
    QuantLib::ext::shared_ptr<StrikedTypePayoff> payoff = QuantLib::ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
    QL_REQUIRE(payoff != NULL, "only striked payoff is allowed");
 
    QuantLib::ext::shared_ptr<CommoditySchwartzParametrization> param = model_->parametrization();
    
    Date expiry = arguments_.exercise->lastDate();
    Time T = param->priceCurve()->timeFromReference(expiry);
    if (T <= 0.0) {
        // option is expired, we do not value any possibly non settled
        // flows, i.e. set the npv to zero in this case
        results_.value = 0.0;
        return;
    }
    Real forward = param->priceCurve()->price(expiry);
    // Var[ln F(T,T)] = Var[X(T)] = V(0,T) - V(T,T)
    Real variance = param->VtT(0,T) - param->VtT(T,T); 
    BlackCalculator black(payoff, forward, std::sqrt(variance), 1.0);
    results_.value = black.value();
 
} // calculate()

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Member Data Documentation

model_

QuantLib::ext::shared_ptr<CommoditySchwartzModel> model_

private

Definition at line 42 of file commodityschwartzfutureoptionengine.hpp.