analyticdigitalamericanengine.hpp

Langue: en

Autres versions - même langue

Version: 379314 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

NAME

ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp -

analytic digital American option engine

SYNOPSIS


#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes


class AnalyticDigitalAmericanEngine
Analytic pricing engine for American vanilla options with digital payoff.

Detailed Description

analytic digital American option engine

Author

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