QuantLib_AmericanPayoffAtHit (3) - Linux Manuals

QuantLib_AmericanPayoffAtHit: Analytic formula for American exercise payoff at-hit options.

Command to display QuantLib_AmericanPayoffAtHit manual in Linux: $ man 3 QuantLib_AmericanPayoffAtHit

NAME

QuantLib::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.

Possible enhancements

: calculate greeks

Author

Generated automatically by Doxygen for QuantLib from the source code.