QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Analytic formula for American exercise payoff at-expiry options. More...
#include <americanpayoffatexpiry.hpp>
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 |
Analytic formula for American exercise payoff at-expiry options.
Definition at line 33 of file americanpayoffatexpiry.hpp.
AmericanPayoffAtExpiry | ( | Real | spot, |
DiscountFactor | discount, | ||
DiscountFactor | dividendDiscount, | ||
Real | variance, | ||
const ext::shared_ptr< StrikedTypePayoff > & | payoff, | ||
bool | knock_in = true |
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) |
Definition at line 25 of file americanpayoffatexpiry.cpp.
Real value | ( | ) | const |
Definition at line 65 of file americanpayoffatexpiry.hpp.
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Definition at line 44 of file americanpayoffatexpiry.hpp.
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Definition at line 45 of file americanpayoffatexpiry.hpp.
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Definition at line 45 of file americanpayoffatexpiry.hpp.
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Definition at line 46 of file americanpayoffatexpiry.hpp.
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Definition at line 48 of file americanpayoffatexpiry.hpp.
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Definition at line 49 of file americanpayoffatexpiry.hpp.
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Definition at line 51 of file americanpayoffatexpiry.hpp.
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Definition at line 51 of file americanpayoffatexpiry.hpp.
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Definition at line 53 of file americanpayoffatexpiry.hpp.
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Definition at line 53 of file americanpayoffatexpiry.hpp.
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Definition at line 55 of file americanpayoffatexpiry.hpp.
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Definition at line 55 of file americanpayoffatexpiry.hpp.
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Definition at line 55 of file americanpayoffatexpiry.hpp.
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Definition at line 55 of file americanpayoffatexpiry.hpp.
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Definition at line 55 of file americanpayoffatexpiry.hpp.
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Definition at line 55 of file americanpayoffatexpiry.hpp.
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Definition at line 57 of file americanpayoffatexpiry.hpp.
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Definition at line 58 of file americanpayoffatexpiry.hpp.
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Definition at line 58 of file americanpayoffatexpiry.hpp.
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Definition at line 59 of file americanpayoffatexpiry.hpp.