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-hit options. More...
#include <americanpayoffathit.hpp>
Public Member Functions | |
AmericanPayoffAtHit (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const ext::shared_ptr< StrikedTypePayoff > &payoff) | |
Real | value () const |
Real | delta () const |
Real | gamma () const |
Real | rho (Time maturity) const |
Analytic formula for American exercise payoff at-hit options.
Definition at line 33 of file americanpayoffathit.hpp.
AmericanPayoffAtHit | ( | Real | spot, |
DiscountFactor | discount, | ||
DiscountFactor | dividendDiscount, | ||
Real | variance, | ||
const ext::shared_ptr< StrikedTypePayoff > & | payoff | ||
) |
Definition at line 25 of file americanpayoffathit.cpp.
Real value | ( | ) | const |
Real delta | ( | ) | const |
Real gamma | ( | ) | const |
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Definition at line 46 of file americanpayoffathit.hpp.
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Definition at line 47 of file americanpayoffathit.hpp.
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Definition at line 47 of file americanpayoffathit.hpp.
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Definition at line 48 of file americanpayoffathit.hpp.
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Definition at line 49 of file americanpayoffathit.hpp.
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Definition at line 51 of file americanpayoffathit.hpp.
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Definition at line 51 of file americanpayoffathit.hpp.
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Definition at line 51 of file americanpayoffathit.hpp.
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Definition at line 53 of file americanpayoffathit.hpp.
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Definition at line 53 of file americanpayoffathit.hpp.
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Definition at line 53 of file americanpayoffathit.hpp.
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Definition at line 53 of file americanpayoffathit.hpp.
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Definition at line 53 of file americanpayoffathit.hpp.
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Definition at line 55 of file americanpayoffathit.hpp.
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Definition at line 55 of file americanpayoffathit.hpp.
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Definition at line 55 of file americanpayoffathit.hpp.
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Definition at line 55 of file americanpayoffathit.hpp.
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Definition at line 57 of file americanpayoffathit.hpp.
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Definition at line 57 of file americanpayoffathit.hpp.
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Definition at line 57 of file americanpayoffathit.hpp.
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Definition at line 57 of file americanpayoffathit.hpp.
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Definition at line 59 of file americanpayoffathit.hpp.
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Definition at line 60 of file americanpayoffathit.hpp.
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Definition at line 60 of file americanpayoffathit.hpp.
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Definition at line 60 of file americanpayoffathit.hpp.