AnalyticDigitalAmericanEngine Class Reference

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

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

Inherits OneAssetOption::engine.

Public Member Functions
	AnalyticDigitalAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
void	calculate () const

Additional Inherited Members
Protected Attributes inherited from GenericEngine< OneAssetOption::arguments, OneAssetOption::results >
OneAssetOption::arguments	arguments_
OneAssetOption::results	results_

Detailed Description

Analytic pricing engine for American vanilla options with digital payoff.

Possible enhancements:

add more greeks (as of now only delta and rho available)

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.