ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp File Reference

analytic digital American option engine More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Include dependency graph for analyticdigitalamericanengine.hpp:

Classes

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

Detailed Description

analytic digital American option engine