1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: AnalyticDigitalAmericanEngine Class Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_analytic_digital_american_engine.html">AnalyticDigitalAmericanEngine</a></li> </ul>
</div>
</div><!-- top -->
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_analytic_digital_american_engine-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">AnalyticDigitalAmericanEngine Class Reference<div class="ingroups"><a class="el" href="group__engines.html">Pricing engines</a> » <a class="el" href="group__vanillaengines.html">Vanilla option engines</a></div></div> </div>
</div><!--header-->
<div class="contents">
<p>Analytic pricing engine for American vanilla options with digital payoff.
<a href="class_quant_lib_1_1_analytic_digital_american_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for AnalyticDigitalAmericanEngine:</div>
<div id="dynsection-0-summary" class="dynsummary" style="display:block;">
</div>
<div id="dynsection-0-content" class="dyncontent" style="display:none;">
<div class="center"><img src="class_quant_lib_1_1_analytic_digital_american_engine__inherit__graph.png" border="0" usemap="#a_analytic_digital_american_engine_inherit__map" alt="Inheritance graph"/></div>
<map name="_analytic_digital_american_engine_inherit__map" id="a_analytic_digital_american_engine_inherit__map">
<area shape="rect" title="Analytic pricing engine for American vanilla options with digital payoff." alt="" coords="15,5,216,32"/>
<area shape="rect" href="class_quant_lib_1_1_analytic_digital_american_k_o_engine.html" title="Analytic pricing engine for American Knock-out options with digital payoff." alt="" coords="5,80,225,107"/>
</map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a75e4280159386720ee2f0a620f1dcb25"><td class="memItemLeft" align="right" valign="top"><a id="a75e4280159386720ee2f0a620f1dcb25"></a>
 </td><td class="memItemRight" valign="bottom"><b>AnalyticDigitalAmericanEngine</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &)</td></tr>
<tr class="separator:a75e4280159386720ee2f0a620f1dcb25"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a747c6b1b169d99427e54354ed938b665"><td class="memItemLeft" align="right" valign="top"><a id="a747c6b1b169d99427e54354ed938b665"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
<tr class="separator:a747c6b1b169d99427e54354ed938b665"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aef4449e2b7ebc407dc79dc9a353503ef"><td class="memItemLeft" align="right" valign="top"><a id="aef4449e2b7ebc407dc79dc9a353503ef"></a>
virtual bool </td><td class="memItemRight" valign="bottom"><b>knock_in</b> () const</td></tr>
<tr class="separator:aef4449e2b7ebc407dc79dc9a353503ef"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Analytic pricing engine for American vanilla options with digital payoff. </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000122">Tests:</a></b></dt><dd><ul>
<li>the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing results available in literature.</li>
<li>the correctness of the returned value in case of asset-or-nothing at-hit digital payoff is tested by reproducing results available in literature.</li>
<li>the correctness of the returned value in case of cash-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.</li>
<li>the correctness of the returned value in case of asset-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.</li>
<li>the correctness of the returned greeks in case of cash-or-nothing at-hit digital payoff is tested by reproducing numerical derivatives. </li>
</ul>
</dd></dl>
</div></div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|
