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


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