org.jquantlib.pricingengines

Class AmericanPayoffAtHit

java.lang.Object

org.jquantlib.pricingengines.AmericanPayoffAtHit

public class AmericanPayoffAtHit
extends java.lang.Object

Analytic formula for American exercise payoff at-hit options

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
double	delta()
double	gamma()
double	rho(double maturity)
double	value()

Methods inherited from class java.lang.Object

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

Constructor Detail

AmericanPayoffAtHit

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

Method Detail

value

public double value()

delta

public double delta()

gamma

public double gamma()

rho

public double rho(double maturity)