AnalyticEuropeanEngine and Multi-Curve Discounting
I am using AnalyticEuropeanEngine to price vanilla equity options, but wish to use separate curves for discounting and estimation of the equity forward price. The existing AnalyticEuropeanEngine only takes a GeneralisedBlackScholesProcess as input, and hence only has access to a “risk free rate curve” and a “dividend yield curve”. This is sufficient to match quoted forward prices, but is not flexible enough to enable pricing with reference to a separate discount curve.
I therefore propose extending AnalyticEuropeanEngine to take an optional second input argument for a discount curve (Handle<YieldTermStructure>). If this is not provided the engine defaults to the existing behaviour, but if it is provided the engine will use this curve when discounting cash flows.
Please take a look at the attached for a proposed implementation. It’s quite straightforward. If people are happy with this change then maybe I can submit a pull request?