AnalyticDigitalAmericanEngine Class Reference
[Vanilla option engines]
#include <ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp>
Inheritance diagram for AnalyticDigitalAmericanEngine:
[legend]List of all members.
Detailed Description
Pricing engine for American vanilla options with digital payoff using analytic formulae
- Todo:
- add more greeks (as of now only delta and rho available)
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Public Member Functions |
void | calculate () const |
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