Discounting Equity Forward Engine. More...

#include <qle/pricingengines/discountingequityforwardengine.hpp>

Inheritance diagram for DiscountingEquityForwardEngine:

Collaboration diagram for DiscountingEquityForwardEngine:

Public Member Functions
	DiscountingEquityForwardEngine (const Handle< YieldTermStructure > &equityInterestRateCurve, const Handle< YieldTermStructure > &dividendYieldCurve, const Handle< Quote > &equitySpot, const Handle< YieldTermStructure > &discountCurve, boost::optional< bool > includeSettlementDateFlows=boost::none, const Date &settlementDate=Date(), const Date &npvDate=Date())

void	calculate () const override

const Handle< YieldTermStructure > &	equityReferenceRateCurve () const

const Handle< YieldTermStructure > &	divYieldCurve () const

const Handle< YieldTermStructure > &	discountCurve () const

const Handle< Quote > &	equitySpot () const

Private Attributes
Handle< YieldTermStructure >	equityRefRateCurve_

Handle< YieldTermStructure >	divYieldCurve_

Handle< Quote >	equitySpot_

Handle< YieldTermStructure >	discountCurve_

boost::optional< bool >	includeSettlementDateFlows_

Date	settlementDate_

Date	npvDate_

Detailed Description

Discounting Equity Forward Engine.

This class implements pricing of Equity Forwards by discounting the future nominal cash flows using the respective yield curves. The forward price is estimated using reference rate and dividend yield curves as input. The cashflows are discounted using a separate discounting curve input.

    \ingroup engines

Definition at line 43 of file discountingequityforwardengine.hpp.

Constructor & Destructor Documentation

◆ DiscountingEquityForwardEngine()

DiscountingEquityForwardEngine	(	const Handle< YieldTermStructure > &	equityInterestRateCurve,
		const Handle< YieldTermStructure > &	dividendYieldCurve,
		const Handle< Quote > &	equitySpot,
		const Handle< YieldTermStructure > &	discountCurve,
		boost::optional< bool >	includeSettlementDateFlows = `boost::none`,
		const Date &	settlementDate = `Date()`,
		const Date &	npvDate = `Date()`
	)

Parameters

equityInterestRateCurve	The IR rate curve for estimating forward price.
dividendYieldCurve	The dividend yield term structure for estimating forward price.
equitySpot	The market spot rate quote.
discountCurve	The discount curve
includeSettlementDateFlows,settlementDate	If includeSettlementDateFlows is true (false), cashflows on the settlementDate are (not) included in the NPV. If not given the settlement date is set to the npv date.
npvDate	Discount to this date. If not given the npv date is set to the evaluation date

Definition at line 25 of file discountingequityforwardengine.cpp.

    : equityRefRateCurve_(equityInterestRateCurve), divYieldCurve_(dividendYieldCurve), equitySpot_(equitySpot),
      discountCurve_(discountCurve), includeSettlementDateFlows_(includeSettlementDateFlows),
      settlementDate_(settlementDate), npvDate_(npvDate) {
 
    registerWith(equityRefRateCurve_);
    registerWith(divYieldCurve_);
    registerWith(equitySpot_);
    registerWith(discountCurve_);
}

Member Function Documentation

◆ calculate()

void calculate ( ) const

override

Definition at line 39 of file discountingequityforwardengine.cpp.

                                                     {
 
    Date npvDate = npvDate_;
    if (npvDate == Null<Date>()) {
        npvDate = divYieldCurve_->referenceDate();
    }
    Date settlementDate = settlementDate_;
    if (settlementDate == Null<Date>()) {
        settlementDate = npvDate;
    }
 
    results_.value = 0.0;
 
    if (!detail::simple_event(arguments_.maturityDate).hasOccurred(settlementDate, includeSettlementDateFlows_)) {
        Real lsInd = ((arguments_.longShort == Position::Long) ? 1.0 : -1.0);
        Real qty = arguments_.quantity;
        Date maturity = arguments_.maturityDate;
        Real strike = arguments_.strike;
        Real forwardPrice =
            equitySpot_->value() * divYieldCurve_->discount(maturity) / equityRefRateCurve_->discount(maturity);
        DiscountFactor df = discountCurve_->discount(maturity);
        results_.value = (lsInd * qty) * (forwardPrice - strike) * df;
 
        results_.additionalResults["forwardPrice"] = forwardPrice;
        results_.additionalResults["currentNotional"] = forwardPrice * strike;
    }
} // calculate