AnalyticEuropeanEngine to support multi-curve pricing #170
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
lballabio
reviewed
Dec 13, 2016
| // if discount curve not specified, | ||
| // we default to the risk free rate curve | ||
| // embedded within the GBM process | ||
| if (discountCurve_.empty()) |
There was a problem hiding this comment.
I would move this check to the calculate method. It might happen that the discount-curve handle is still empty at construction, but will be linked to a curve before calculation.
|
Good idea. That's done now. |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
As suggested in my email to quantlib-users on 7th December 2016, I propose updating AnalyticEuropeanEngine so that it can support separate rate curves for discounting and estimation of the forward price. My mail to quantlib-users provides a more detailed description.
The update involves enhancing the constructor for AnalyticEuropeanEngine, so that it includes an optional second argument for the discount curve. If this is left empty/null then the engine reverts to its previous behaviour (i.e. same rate curve used for discounting and estimation of forward price).