AnalyticDigitalAmericanEngine Class Reference
[Vanilla option engines]
#include <ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp>
Inheritance diagram for AnalyticDigitalAmericanEngine:
[legend]List of all members.
Detailed Description
Pricing engine for American vanilla options with digital payoff using analytic formulae
- Todo:
- add more greeks (as of now only delta and rho available)
- Tests:
- a) the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
b) the correctness of the returned value in case of asset-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
c) the correctness of the returned value in case of cash-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
d) the correctness of the returned value in case of asset-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
e) the correctness of the returned greeks in case of cash-or-nothing at-hit digital payoff is tested by reproducing numerical derivatives.
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Public Member Functions |
void | calculate () const |
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