AmericanPayoffAtHit Class Reference

#include <ql/PricingEngines/americanpayoffathit.hpp>

List of all members.


Detailed Description

Analytic formula for American exercise payoff at-hit options

Todo:
calculate greeks


Public Member Functions

 AmericanPayoffAtHit (double spot, double discount, double dividendDiscount, double variance, const Handle< StrikedTypePayoff > &payoff)
double value () const
double delta () const
double gamma () const
double rho (double maturity) const


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