AnalyticDigitalAmericanEngine Class Reference
[Vanilla option engines]

#include <ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp>

Inheritance diagram for AnalyticDigitalAmericanEngine:

Inheritance graph
[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)


Public Member Functions

void calculate () const


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