AmericanPayoffAtHit Class Reference

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

#include <americanpayoffathit.hpp>

Collaboration diagram for AmericanPayoffAtHit:

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

Private Attributes
Real	spot_
DiscountFactor	discount_
DiscountFactor	dividendDiscount_
Real	variance_
Volatility	stdDev_
Real	strike_
Real	K_
Real	DKDstrike_
Real	mu_
Real	lambda_
Real	muPlusLambda_
Real	muMinusLambda_
Real	log_H_S_
Real	D1_
Real	D2_
Real	cum_d1_
Real	cum_d2_
Real	alpha_
Real	beta_
Real	DalphaDd1_
Real	DbetaDd2_
bool	inTheMoney_
Real	forward_
Real	X_
Real	DXDstrike_

Detailed Description

Analytic formula for American exercise payoff at-hit options.

Definition at line 33 of file americanpayoffathit.hpp.

Constructor & Destructor Documentation

AmericanPayoffAtHit()

AmericanPayoffAtHit	(	Real	spot,
		DiscountFactor	discount,
		DiscountFactor	dividendDiscount,
		Real	variance,
		const ext::shared_ptr< StrikedTypePayoff > &	payoff
	)

Definition at line 25 of file americanpayoffathit.cpp.

Member Function Documentation

value()

Real value

(

)

const

Definition at line 66 of file americanpayoffathit.hpp.

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delta()

Real delta

(

)

const

Definition at line 160 of file americanpayoffathit.cpp.

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gamma()

Real gamma

(

)

const

Definition at line 181 of file americanpayoffathit.cpp.

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rho()

Real rho

(

Time

maturity

)

const

Definition at line 211 of file americanpayoffathit.cpp.

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Member Data Documentation

spot_

Real spot_

private

Definition at line 46 of file americanpayoffathit.hpp.

discount_

DiscountFactor discount_

private

Definition at line 47 of file americanpayoffathit.hpp.

dividendDiscount_

DiscountFactor dividendDiscount_

private

Definition at line 47 of file americanpayoffathit.hpp.

variance_

Real variance_

private

Definition at line 48 of file americanpayoffathit.hpp.

stdDev_

Volatility stdDev_

private

Definition at line 49 of file americanpayoffathit.hpp.

strike_

Real strike_

private

Definition at line 51 of file americanpayoffathit.hpp.

K_

Real K_

private

Definition at line 51 of file americanpayoffathit.hpp.

DKDstrike_

Real DKDstrike_

private

Definition at line 51 of file americanpayoffathit.hpp.

mu_

Real mu_

private

Definition at line 53 of file americanpayoffathit.hpp.

lambda_

Real lambda_

private

Definition at line 53 of file americanpayoffathit.hpp.

muPlusLambda_

Real muPlusLambda_

private

Definition at line 53 of file americanpayoffathit.hpp.

muMinusLambda_

Real muMinusLambda_

private

Definition at line 53 of file americanpayoffathit.hpp.

log_H_S_

Real log_H_S_

private

Definition at line 53 of file americanpayoffathit.hpp.

D1_

Real D1_

private

Definition at line 55 of file americanpayoffathit.hpp.

D2_

Real D2_

private

Definition at line 55 of file americanpayoffathit.hpp.

cum_d1_

Real cum_d1_

private

Definition at line 55 of file americanpayoffathit.hpp.

cum_d2_

Real cum_d2_

private

Definition at line 55 of file americanpayoffathit.hpp.

alpha_

Real alpha_

private

Definition at line 57 of file americanpayoffathit.hpp.

beta_

Real beta_

private

Definition at line 57 of file americanpayoffathit.hpp.

DalphaDd1_

Real DalphaDd1_

private

Definition at line 57 of file americanpayoffathit.hpp.

DbetaDd2_

Real DbetaDd2_

private

Definition at line 57 of file americanpayoffathit.hpp.

inTheMoney_

bool inTheMoney_

private

Definition at line 59 of file americanpayoffathit.hpp.

forward_

Real forward_

private

Definition at line 60 of file americanpayoffathit.hpp.

X_

Real X_

private

Definition at line 60 of file americanpayoffathit.hpp.

DXDstrike_

Real DXDstrike_

private

Definition at line 60 of file americanpayoffathit.hpp.