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Public Member Functions | Private Attributes | List of all members
AmericanPayoffAtExpiry Class Reference

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

#include <americanpayoffatexpiry.hpp>

+ Collaboration diagram for AmericanPayoffAtExpiry:

Public Member Functions

 AmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const ext::shared_ptr< StrikedTypePayoff > &payoff, bool knock_in=true)
 
Real value () const
 

Private Attributes

Real spot_
 
DiscountFactor discount_
 
DiscountFactor dividendDiscount_
 
Real variance_
 
Real forward_
 
Volatility stdDev_
 
Real strike_
 
Real K_
 
Real mu_
 
Real log_H_S_
 
Real D1_
 
Real D2_
 
Real cum_d1_
 
Real cum_d2_
 
Real n_d1_
 
Real n_d2_
 
bool inTheMoney_
 
Real Y_
 
Real X_
 
bool knock_in_
 

Detailed Description

Analytic formula for American exercise payoff at-expiry options.

Definition at line 33 of file americanpayoffatexpiry.hpp.

Constructor & Destructor Documentation

◆ AmericanPayoffAtExpiry()

AmericanPayoffAtExpiry ( Real  spot,
DiscountFactor  discount,
DiscountFactor  dividendDiscount,
Real  variance,
const ext::shared_ptr< StrikedTypePayoff > &  payoff,
bool  knock_in = true 
)

Definition at line 25 of file americanpayoffatexpiry.cpp.

Member Function Documentation

◆ value()

Real value ( ) const

Definition at line 65 of file americanpayoffatexpiry.hpp.

+ Here is the caller graph for this function:

Member Data Documentation

◆ spot_

Real spot_
private

Definition at line 44 of file americanpayoffatexpiry.hpp.

◆ discount_

DiscountFactor discount_
private

Definition at line 45 of file americanpayoffatexpiry.hpp.

◆ dividendDiscount_

DiscountFactor dividendDiscount_
private

Definition at line 45 of file americanpayoffatexpiry.hpp.

◆ variance_

Real variance_
private

Definition at line 46 of file americanpayoffatexpiry.hpp.

◆ forward_

Real forward_
private

Definition at line 48 of file americanpayoffatexpiry.hpp.

◆ stdDev_

Volatility stdDev_
private

Definition at line 49 of file americanpayoffatexpiry.hpp.

◆ strike_

Real strike_
private

Definition at line 51 of file americanpayoffatexpiry.hpp.

◆ K_

Real K_
private

Definition at line 51 of file americanpayoffatexpiry.hpp.

◆ mu_

Real mu_
private

Definition at line 53 of file americanpayoffatexpiry.hpp.

◆ log_H_S_

Real log_H_S_
private

Definition at line 53 of file americanpayoffatexpiry.hpp.

◆ D1_

Real D1_
private

Definition at line 55 of file americanpayoffatexpiry.hpp.

◆ D2_

Real D2_
private

Definition at line 55 of file americanpayoffatexpiry.hpp.

◆ cum_d1_

Real cum_d1_
private

Definition at line 55 of file americanpayoffatexpiry.hpp.

◆ cum_d2_

Real cum_d2_
private

Definition at line 55 of file americanpayoffatexpiry.hpp.

◆ n_d1_

Real n_d1_
private

Definition at line 55 of file americanpayoffatexpiry.hpp.

◆ n_d2_

Real n_d2_
private

Definition at line 55 of file americanpayoffatexpiry.hpp.

◆ inTheMoney_

bool inTheMoney_
private

Definition at line 57 of file americanpayoffatexpiry.hpp.

◆ Y_

Real Y_
private

Definition at line 58 of file americanpayoffatexpiry.hpp.

◆ X_

Real X_
private

Definition at line 58 of file americanpayoffatexpiry.hpp.

◆ knock_in_

bool knock_in_
private

Definition at line 59 of file americanpayoffatexpiry.hpp.