QuantLib: AnalyticDigitalAmericanKOEngine Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | List of all members
AnalyticDigitalAmericanKOEngine Class Reference
Pricing engines » Vanilla option engines

Analytic pricing engine for American Knock-out options with digital payoff. More...

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

Inheritance diagram for AnalyticDigitalAmericanKOEngine:
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## Public Member Functions
| AnalyticDigitalAmericanKOEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &engine)
virtual bool | knock_in () const
Public Member Functions inherited from AnalyticDigitalAmericanEngine
| AnalyticDigitalAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
virtual void | calculate () const

## Detailed Description

Analytic pricing engine for American Knock-out 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.