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QuantLib_AnalyticDigitalAmericanEngine
Langue: en
Version: 162272 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
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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