AnalyticDigitalAmericanEngine Class Reference
[Vanilla option engines]

#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp>

Inherits OneAssetOption::engine.

List of all members.


Detailed Description

Analytic pricing engine for American vanilla options with digital payoff.

Possible enhancements:
add more greeks (as of now only delta and rho available)
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.

Public Member Functions

 AnalyticDigitalAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
void calculate () const