AmericanPayoffAtExpiry (3) - Linux Manuals

AmericanPayoffAtExpiry: Analytic formula for American exercise payoff at-expiry options.

NAME

QuantLib::AmericanPayoffAtExpiry - Analytic formula for American exercise payoff at-expiry options.

SYNOPSIS

#include <ql/pricingengines/americanpayoffatexpiry.hpp>

Public Member Functions

AmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff)

Real value () const

Detailed Description

Analytic formula for American exercise payoff at-expiry options.

Possible enhancements

calculate greeks

Author

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