analyticeuropeanengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano
 Copyright (C) 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2007 StatPro Italia srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file analyticeuropeanengine.hpp
    \brief Analytic European engine
*/
 
#ifndef quantlib_analytic_european_engine_hpp
#define quantlib_analytic_european_engine_hpp
 
#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
 
namespace QuantLib {
 
    //! Pricing engine for European vanilla options using analytical formulae
    /*! \ingroup vanillaengines
 
        \test
        - the correctness of the returned value is tested by
          reproducing results available in literature.
        - the correctness of the returned greeks is tested by
          reproducing results available in literature.
        - the correctness of the returned greeks is tested by
          reproducing numerical derivatives.
        - the correctness of the returned implied volatility is tested
          by using it for reproducing the target value.
        - the implied-volatility calculation is tested by checking
          that it does not modify the option.
        - the correctness of the returned value in case of
          cash-or-nothing digital payoff is tested by reproducing
          results available in literature.
        - the correctness of the returned value in case of
          asset-or-nothing digital payoff is tested by reproducing
          results available in literature.
        - the correctness of the returned value in case of gap digital
          payoff is tested by reproducing results available in
          literature.
        - the correctness of the returned greeks in case of
          cash-or-nothing digital payoff is tested by reproducing
          numerical derivatives.
    */
    class AnalyticEuropeanEngine : public VanillaOption::engine {
      public:
        /*! This constructor triggers the usual calculation, in which
            the risk-free rate in the given process is used for both
            forecasting and discounting.
        */
        explicit AnalyticEuropeanEngine(ext::shared_ptr<GeneralizedBlackScholesProcess>);
 
        /*! 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.
        */
        AnalyticEuropeanEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process,
                               Handle<YieldTermStructure> discountCurve);
        void calculate() const override;
 
      private:
        ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
        Handle<YieldTermStructure> discountCurve_;
    };
 
}
 
 
#endif