AnalyticDigitalAmericanEngine Class Reference

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

#include <analyticdigitalamericanengine.hpp>

Inheritance diagram for AnalyticDigitalAmericanEngine:

Collaboration diagram for AnalyticDigitalAmericanEngine:

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

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

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.

Definition at line 55 of file analyticdigitalamericanengine.hpp.

Constructor & Destructor Documentation

AnalyticDigitalAmericanEngine()

AnalyticDigitalAmericanEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

Definition at line 30 of file analyticdigitalamericanengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 36 of file analyticdigitalamericanengine.cpp.

Here is the call graph for this function:

knock_in()

virtual bool knock_in ( ) const

virtual

Reimplemented in AnalyticDigitalAmericanKOEngine.

Definition at line 59 of file analyticdigitalamericanengine.hpp.

Here is the caller graph for this function:

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 63 of file analyticdigitalamericanengine.hpp.