Pricing engine for European vanilla options using analytical formulae. More...
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
Inherits engine.
Public Member Functions | |
| AnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) | |
| AnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< YieldTermStructure > &discountCurve) | |
| void | calculate () const |
Pricing engine for European vanilla options using analytical formulae.
| AnalyticEuropeanEngine | ( | const boost::shared_ptr< GeneralizedBlackScholesProcess > & | ) |
This constructor triggers the usual calculation, in which the risk-free rate in the given process is used for both forecasting and discounting.
| AnalyticEuropeanEngine | ( | const boost::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.