Analytic pricing engine for American vanilla options with digital payoff.
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#include <qle/pricingengines/analyticdigitalamericanengine.hpp>
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| AnalyticDigitalAmericanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, const QuantLib::Date &payDate, const bool flipResults=false) |
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void | calculate () const override |
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virtual bool | knock_in () const override |
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Analytic pricing engine for American vanilla options with digital payoff.