AmericanPayoffAtHit Class Reference
#include <ql/PricingEngines/americanpayoffathit.hpp>
Detailed Description
Analytic formula for American exercise payoff at-hit options
- Todo:
- calculate greeks
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 |