americanpayoffatexpiry(3)

QuantLib::AmericanPayoffAtExpiry – Analytic formula for American exercise payoff at-expiry options.

Synopsis

#include <ql/pricingengines/americanpayoffatexpiry.hpp>

Public Member Functions

AmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff)

Real value () const

Detailed Description

Analytic formula for American exercise payoff at-expiry options.

Possible enhancements

calculate greeks

Author

Generated automatically by Doxygen for QuantLib from the source code.