QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
AnalyticDigitalAmericanEngine Class Reference

Analytic pricing engine for American vanilla options with digital payoff. More...

#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp>

+ Inheritance diagram for AnalyticDigitalAmericanEngine:

Public Member Functions

 AnalyticDigitalAmericanEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &)
 
virtual void calculate () const
 
virtual bool knock_in () const
 

Detailed Description

Analytic pricing engine for American vanilla options with digital payoff.

Tests:
  • the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
  • the correctness of the returned value in case of asset-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
  • the correctness of the returned value in case of cash-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
  • the correctness of the returned value in case of asset-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
  • the correctness of the returned greeks in case of cash-or-nothing at-hit digital payoff is tested by reproducing numerical derivatives.