QuantLib_AnalyticDigitalAmericanEngine (3) Linux Manual Page
QuantLib::AnalyticDigitalAmericanEngine – Analytic pricing engine for American vanilla options with digital payoff.
Synopsis
#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp>Inherits QuantLib::OneAssetOption::engine.
Public Member Functions
AnalyticDigitalAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)void calculate () const
Detailed Description
Analytic pricing engine for American vanilla options with digital payoff. Possible enhancements
- add more greeks (as of now only delta and rho available)
Tests
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- the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
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- the correctness of the returned value in case of asset-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
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- the correctness of the returned value in case of cash-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
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- the correctness of the returned value in case of asset-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
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- the correctness of the returned greeks in case of cash-or-nothing at-hit digital payoff is tested by reproducing numerical derivatives.
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