QuantLib_AnalyticDigitalAmericanKOEngine man page

AnalyticDigitalAmericanKOEngine — Analytic pricing engine for American Knock-out options with digital payoff.  

Synopsis

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

Inherits AnalyticDigitalAmericanEngine.

Public Member Functions

AnalyticDigitalAmericanKOEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &engine)
virtual bool knock_in () const

Detailed Description

Analytic pricing engine for American Knock-out 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

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Referenced By

The man page AnalyticDigitalAmericanKOEngine(3) is an alias of QuantLib_AnalyticDigitalAmericanKOEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib