AmericanPayoffAtExpiry Class Reference
Analytic formula for American exercise payoff at-expiry options. More...
#include <ql/pricingengines/americanpayoffatexpiry.hpp>
Public Member Functions | |
AmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) | |
Real | value () const |
Detailed Description
Analytic formula for American exercise payoff at-expiry options.
- Possible enhancements:
- calculate greeks