QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | List of all members
AnalyticDigitalAmericanKOEngine Class Reference

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

#include <ql/pricingengines/vanilla/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()

bool knock_in ( ) const
overridevirtual

Reimplemented from AnalyticDigitalAmericanEngine.

Definition at line 95 of file analyticdigitalamericanengine.hpp.