Analytic pricing engine for American vanilla options with digital payoff.
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#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp>
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| AnalyticDigitalAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) |
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virtual void | calculate () const |
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virtual bool | knock_in () const |
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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.