AnalyticDigitalAmericanKOEngine Class Reference

Analytic pricing engine for American Knock-out options with digital payoff. More...

#include <qle/pricingengines/analyticdigitalamericanengine.hpp>

Inheritance diagram for AnalyticDigitalAmericanKOEngine:

Collaboration diagram for AnalyticDigitalAmericanKOEngine:

Public Member Functions
	AnalyticDigitalAmericanKOEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &engine, const QuantLib::Date &payDate, const bool flipResults=false)
bool	knock_in () const override
Public Member Functions inherited from AnalyticDigitalAmericanEngine
	AnalyticDigitalAmericanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, const QuantLib::Date &payDate, const bool flipResults=false)
void	calculate () const override
virtual bool	knock_in () const override

Detailed Description

Analytic pricing engine for American Knock-out options with digital payoff.

Definition at line 56 of file analyticdigitalamericanengine.hpp.

Constructor & Destructor Documentation

AnalyticDigitalAmericanKOEngine()

AnalyticDigitalAmericanKOEngine	(	const ext::shared_ptr< GeneralizedBlackScholesProcess > &	engine,
		const QuantLib::Date &	payDate,
		const bool	flipResults = false
	)

Definition at line 58 of file analyticdigitalamericanengine.hpp.

        : AnalyticDigitalAmericanEngine(engine, payDate, flipResults) {}

Member Function Documentation

knock_in()

bool knock_in ( ) const

overridevirtual

Reimplemented from AnalyticDigitalAmericanEngine.

Definition at line 61 of file analyticdigitalamericanengine.hpp.

{ return false; }