intrinsicascotengine.hpp

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/*
 Copyright (C) 2020 Quaternion Risk Managment Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file qle/pricingengines/intrinsicascotengine.hpp
    \brief intrinsic engine for Ascots
*/
 
#pragma once
 
#include <qle/instruments/ascot.hpp>
 
#include <ql/instruments/payoffs.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
 
namespace QuantExt {
 
using namespace QuantLib;
 
//! Intrinsic engine for Ascots
/*  \ingroup engines
 
    \test the correctness of the returned value is tested by
          checking it against known results in a few corner cases.
*/
 
class IntrinsicAscotEngine : public Ascot::engine {
public:
    IntrinsicAscotEngine(const Handle<YieldTermStructure>& discountCurve);
    void calculate() const override;
 
private:
    Handle<YieldTermStructure> discountCurve_;
 
};
 
} // namespace QuantExt