QuantLib_AnalyticDigitalAmericanEngine man page

AnalyticDigitalAmericanEngine — Analytic pricing engine for American vanilla options with digital payoff.  

Synopsis

#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp>

Inherits OneAssetOption::engine.

Inherited by AnalyticDigitalAmericanKOEngine.

Public Member Functions

AnalyticDigitalAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
virtual void calculate () const
virtual bool knock_in () const

Detailed Description

Analytic pricing engine for American vanilla options with digital payoff.

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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticDigitalAmericanEngine(3) and knock_in(3) are aliases of QuantLib_AnalyticDigitalAmericanEngine(3).

Fri Jun 2 2017 Version 1.10 QuantLib