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QuantLib_AnalyticDigitalAmericanEngine

NAME

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

*

the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing results available in literature.

*

the correctness of the returned value in case of asset-or-nothing at-hit digital payoff is tested by reproducing results available in literature.

*

the correctness of the returned value in case of cash-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.

*

the correctness of the returned value in case of asset-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.

*

the correctness of the returned greeks in case of cash-or-nothing at-hit digital payoff is tested by reproducing numerical derivatives.

Author

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