Analytic pricing engine for American Knock-out options with digital payoff. More...
#include <analyticdigitalamericanengine.hpp>
Inheritance diagram for AnalyticDigitalAmericanKOEngine:
Collaboration diagram for AnalyticDigitalAmericanKOEngine:
Public Member Functions | |
| AnalyticDigitalAmericanKOEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &engine) | |
| bool | knock_in () const override |
| Public Member Functions inherited from AnalyticDigitalAmericanEngine | |
| AnalyticDigitalAmericanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >) | |
| void | calculate () const override |
| virtual bool | knock_in () const |
Detailed Description
Analytic pricing engine for American Knock-out options with digital payoff.
- Tests:
- the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
- the correctness of the returned value in case of asset-or-nothing at-hit digital payoff is tested by reproducing results available in literature.
- the correctness of the returned value in case of cash-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
- the correctness of the returned value in case of asset-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.
- the correctness of the returned greeks in case of cash-or-nothing at-hit digital payoff is tested by reproducing numerical derivatives.
Definition at line 88 of file analyticdigitalamericanengine.hpp.
Constructor & Destructor Documentation
◆ AnalyticDigitalAmericanKOEngine()
| AnalyticDigitalAmericanKOEngine | ( | const ext::shared_ptr< GeneralizedBlackScholesProcess > & | engine | ) |
Definition at line 91 of file analyticdigitalamericanengine.hpp.
Member Function Documentation
◆ knock_in()
|
overridevirtual |
Reimplemented from AnalyticDigitalAmericanEngine.
Definition at line 95 of file analyticdigitalamericanengine.hpp.