AmericanPayoffAtExpiry (3) Linux Manual Page
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