AnalyticEuropeanEngine Class Reference

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

#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>

Inherits engine.

Public Member Functions
	AnalyticEuropeanEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &)
	AnalyticEuropeanEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< YieldTermStructure > &discountCurve)
void	calculate () const

Detailed Description

Pricing engine for European vanilla options using analytical formulae.

Tests:

• 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.

Examples

EquityOption.cpp, and Replication.cpp.

Constructor & Destructor Documentation

AnalyticEuropeanEngine() [1/2]

AnalyticEuropeanEngine ( const ext::shared_ptr< GeneralizedBlackScholesProcess > &  )

explicit

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

AnalyticEuropeanEngine() [2/2]

AnalyticEuropeanEngine	(	const ext::shared_ptr< GeneralizedBlackScholesProcess > &	process,
		const Handle< 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.