AmericanPayoffAtExpiry Class Reference

Analytic formula for American exercise payoff at-expiry options. More...

#include <ql/pricingengines/americanpayoffatexpiry.hpp>

List of all members.

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