AnalyticDigitalAmericanEngine Class Reference

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

#include <qle/pricingengines/analyticdigitalamericanengine.hpp>

Inheritance diagram for AnalyticDigitalAmericanEngine:

Public Member Functions
	AnalyticDigitalAmericanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, const QuantLib::Date &payDate, const bool flipResults=false)
void	calculate () const override
virtual bool	knock_in () const override

Detailed Description

Analytic pricing engine for American vanilla options with digital payoff.