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QuantLib_AmericanPayoffAtHit
Langue: en
Version: 377495 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
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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