AmericanPayoffAtExpiry Class Reference

Analytic formula for American exercise payoff at-expiry options. More...

#include <ql/pricingengines/americanpayoffatexpiry.hpp>

Public Member Functions

 AmericanPayoffAtExpiry (Real spot, DiscountFactor discount, DiscountFactor dividendDiscount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff)
 
Real value () const
 

Detailed Description

Analytic formula for American exercise payoff at-expiry options.

Possible enhancements:
calculate greeks