QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
AmericanPayoffAtHit Class Reference

Analytic formula for American exercise payoff at-hit options. More...

#include <ql/pricingengines/americanpayoffathit.hpp>

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
 

Detailed Description

Analytic formula for American exercise payoff at-hit options.