org.jquantlib.pricingengines

Class AmericanPayoffAtExpiry

java.lang.Object

org.jquantlib.pricingengines.AmericanPayoffAtExpiry

public class AmericanPayoffAtExpiry
extends java.lang.Object

Analytical formulae for american exercise with payoff at expiry

Constructor Summary

Constructors

Constructor and Description
AmericanPayoffAtExpiry(double spot, double discount, double dividendDiscount, double variance, StrikedTypePayoff strikedTypePayoff)

Method Summary

Modifier and Type	Method and Description
double	value()

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

AmericanPayoffAtExpiry

public AmericanPayoffAtExpiry(double spot,
                              double discount,
                              double dividendDiscount,
                              double variance,
                              StrikedTypePayoff strikedTypePayoff)

Method Detail

value

public double value()