AnalyticDigitalAmericanEngine Class Reference

Analytic pricing engine for American vanilla options with digital payoff. More...

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

Inheritance diagram for AnalyticDigitalAmericanEngine:

Public Member Functions
	AnalyticDigitalAmericanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >)
void	calculate () const override
virtual bool	knock_in () const

Detailed Description

Analytic pricing engine for American vanilla 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.