QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
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AmericanPayoffAtHit Class Reference#include <ql/PricingEngines/americanpayoffathit.hpp>
List of all members.
Detailed Description
Analytic formula for American exercise payoff at-hit options
- Todo:
- calculate greeks
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Public Member Functions |
| AmericanPayoffAtHit (double spot, double discount, double dividendDiscount, double variance, const Handle< StrikedTypePayoff > &payoff) |
double | value () const |
double | delta () const |
double | gamma () const |
double | rho (double maturity) const |
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