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QuantLib_AmericanPayoffAtExpiry
Langue: en
Version: 383003 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
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
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Contenus ©2006-2024 Benjamin Poulain
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