analyticdigitalamericanengine.hpp File Reference

Wrapper of QuantLib analytic digital American option engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair. More...

#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Go to the source code of this file.

Classes
class	AnalyticDigitalAmericanEngine
	Analytic pricing engine for American vanilla options with digital payoff. More...
class	AnalyticDigitalAmericanKOEngine
	Analytic pricing engine for American Knock-out options with digital payoff. More...

Namespaces
namespace	QuantExt

Detailed Description

Wrapper of QuantLib analytic digital American option engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.

Definition in file analyticdigitalamericanengine.hpp.