QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
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, bool knock_in=true)
 
Real value () const
 

Detailed Description

Analytic formula for American exercise payoff at-expiry options.