AmericanPayoffAtExpiry Class Reference

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

#include <americanpayoffatexpiry.hpp>

Collaboration diagram for AmericanPayoffAtExpiry:

Public Member Functions
	AmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const ext::shared_ptr< StrikedTypePayoff > &payoff, bool knock_in=true)
Real	value () const

Private Attributes
Real	spot_
DiscountFactor	discount_
DiscountFactor	dividendDiscount_
Real	variance_
Real	forward_
Volatility	stdDev_
Real	strike_
Real	K_
Real	mu_
Real	log_H_S_
Real	D1_
Real	D2_
Real	cum_d1_
Real	cum_d2_
Real	n_d1_
Real	n_d2_
bool	inTheMoney_
Real	Y_
Real	X_
bool	knock_in_

Detailed Description

Analytic formula for American exercise payoff at-expiry options.

Definition at line 33 of file americanpayoffatexpiry.hpp.

Constructor & Destructor Documentation

AmericanPayoffAtExpiry()

AmericanPayoffAtExpiry	(	Real	spot,
		DiscountFactor	discount,
		DiscountFactor	dividendDiscount,
		Real	variance,
		const ext::shared_ptr< StrikedTypePayoff > &	payoff,
		bool	knock_in = true
	)

Definition at line 25 of file americanpayoffatexpiry.cpp.

Member Function Documentation

value()

Real value

(

)

const

Definition at line 65 of file americanpayoffatexpiry.hpp.

Here is the caller graph for this function:

Member Data Documentation

spot_

Real spot_

private

Definition at line 44 of file americanpayoffatexpiry.hpp.

discount_

DiscountFactor discount_

private

Definition at line 45 of file americanpayoffatexpiry.hpp.

dividendDiscount_

DiscountFactor dividendDiscount_

private

Definition at line 45 of file americanpayoffatexpiry.hpp.

variance_

Real variance_

private

Definition at line 46 of file americanpayoffatexpiry.hpp.

forward_

Real forward_

private

Definition at line 48 of file americanpayoffatexpiry.hpp.

stdDev_

Volatility stdDev_

private

Definition at line 49 of file americanpayoffatexpiry.hpp.

strike_

Real strike_

private

Definition at line 51 of file americanpayoffatexpiry.hpp.

K_

Real K_

private

Definition at line 51 of file americanpayoffatexpiry.hpp.

mu_

Real mu_

private

Definition at line 53 of file americanpayoffatexpiry.hpp.

log_H_S_

Real log_H_S_

private

Definition at line 53 of file americanpayoffatexpiry.hpp.

D1_

Real D1_

private

Definition at line 55 of file americanpayoffatexpiry.hpp.

D2_

Real D2_

private

Definition at line 55 of file americanpayoffatexpiry.hpp.

cum_d1_

Real cum_d1_

private

Definition at line 55 of file americanpayoffatexpiry.hpp.

cum_d2_

Real cum_d2_

private

Definition at line 55 of file americanpayoffatexpiry.hpp.

n_d1_

Real n_d1_

private

Definition at line 55 of file americanpayoffatexpiry.hpp.

n_d2_

Real n_d2_

private

Definition at line 55 of file americanpayoffatexpiry.hpp.

inTheMoney_

bool inTheMoney_

private

Definition at line 57 of file americanpayoffatexpiry.hpp.

Y_

Real Y_

private

Definition at line 58 of file americanpayoffatexpiry.hpp.

X_

Real X_

private

Definition at line 58 of file americanpayoffatexpiry.hpp.

knock_in_

bool knock_in_

private

Definition at line 59 of file americanpayoffatexpiry.hpp.