americanpayoffathit(3)

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

Author

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