AmericanPayoffAtHit Class Reference

Analytic formula for American exercise payoff at-hit options. More...

#include <ql/pricingengines/americanpayoffathit.hpp>

Public Member Functions
	AmericanPayoffAtHit (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const ext::shared_ptr< StrikedTypePayoff > &payoff)
Real	value () const
Real	delta () const
Real	gamma () const
Real	rho (Time maturity) const

Detailed Description

Analytic formula for American exercise payoff at-hit options.