AmericanPayoffAtHit (3) Linux Manual Page
QuantLib::AmericanPayoffAtHit – Analytic formula for American exercise payoff at-hit options.
Synopsis
#include <ql/pricingengines/americanpayoffathit.hpp>Public Member Functions
AmericanPayoffAtHit (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff)Real value () const
Real delta () const
Real gamma () const
Real rho (Time maturity) const
Detailed Description
Analytic formula for American exercise payoff at-hit options. Possible enhancements
- calculate greeks