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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2004 Ferdinando Ametrano

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

/*! \file americanpayoffatexpiry.hpp
    \brief Analytical formulae for american exercise with payoff at expiry

#ifndef quantlib_americanpayoffatexpiry_h
#define quantlib_americanpayoffatexpiry_h

#include <ql/Instruments/payoffs.hpp>

namespace QuantLib {

    /*! Analytic formula for American exercise payoff at-expiry options

        \todo calculate greeks
00035     class AmericanPayoffAtExpiry {
                          Real spot,
                          DiscountFactor discount,
                          DiscountFactor dividendDiscount,
                          Real variance,
                          const boost::shared_ptr<StrikedTypePayoff>& payoff);
        Real value() const;
        Real spot_;
        DiscountFactor discount_, dividendDiscount_;
        Real variance_;

        Real forward_;
        Volatility stdDev_;

        Real strike_, K_, DKDstrike_;

        Real mu_, log_H_S_;

        Real D1_, D2_, cum_d1_, cum_d2_;

        Real alpha_, beta_, DalphaDd1_, DbetaDd2_;

        bool inTheMoney_;
        Real Y_, DYDstrike_, X_, DXDstrike_;

    // inline definitions

    inline Real AmericanPayoffAtExpiry::value() const {
        return discount_ * K_ * (Y_ * alpha_ + X_ * beta_);



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