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<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
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<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_k_o_engine.html">AnalyticDigitalAmericanKOEngine</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_analytic_digital_american_k_o_engine-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">AnalyticDigitalAmericanKOEngine 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>
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<p>Analytic pricing engine for American Knock-out options with digital payoff.
<a href="class_quant_lib_1_1_analytic_digital_american_k_o_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for AnalyticDigitalAmericanKOEngine:</div>
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<area shape="rect" title="Analytic pricing engine for American Knock-out options with digital payoff." alt="" coords="5,80,225,107"/>
<area shape="rect" href="class_quant_lib_1_1_analytic_digital_american_engine.html" title="Analytic pricing engine for American vanilla options with digital payoff." alt="" coords="15,5,216,32"/>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>AnalyticDigitalAmericanKOEngine</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &engine)</td></tr>
<tr class="separator:a005e3c1b8a4dd05855ce71630cef3b1c"><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>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_analytic_digital_american_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_analytic_digital_american_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_analytic_digital_american_engine.html">AnalyticDigitalAmericanEngine</a></td></tr>
<tr class="memitem:a75e4280159386720ee2f0a620f1dcb25 inherit pub_methods_class_quant_lib_1_1_analytic_digital_american_engine"><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 inherit pub_methods_class_quant_lib_1_1_analytic_digital_american_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a747c6b1b169d99427e54354ed938b665 inherit pub_methods_class_quant_lib_1_1_analytic_digital_american_engine"><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 inherit pub_methods_class_quant_lib_1_1_analytic_digital_american_engine"><td class="memSeparator" colspan="2"> </td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Analytic pricing engine for American Knock-out options with digital payoff. </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000123">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>
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