QuantLib_AmericanPayoffAtHit man page

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AmericanPayoffAtHit(3), delta(3), ql-gamma(3) and rho(3) are aliases of QuantLib_AmericanPayoffAtHit(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib