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<title>QuantLib: AnalyticDigitalAmericanEngine Class Reference</title>
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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_analytic_digital_american_engine.html">AnalyticDigitalAmericanEngine</a></div>
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<h1>AnalyticDigitalAmericanEngine Class Reference<br>
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[<a class="el" href="group__vanillaengines.html">Vanilla option engines</a>]</small>
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</h1><!-- doxytag: class="QuantLib::AnalyticDigitalAmericanEngine" --><!-- doxytag: inherits="QuantLib::VanillaOption::engine" --><code>#include <ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp></code>
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Inheritance diagram for AnalyticDigitalAmericanEngine:<p><center><img src="class_quant_lib_1_1_analytic_digital_american_engine__inherit__graph.png" border="0" usemap="#_analytic_digital_american_engine__inherit__map" alt="Inheritance graph"></center>
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_analytic_digital_american_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
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Pricing engine for American vanilla options with digital payoff using analytic formulae<p>
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<dl compact><dt><b><a class="el" href="todo.html#_todo000054">Todo:</a></b></dt><dd>add more greeks (as of now only delta and rho available)</dd></dl>
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<dl compact><dt><b><a class="el" href="test.html#_test000082">Tests:</a></b></dt><dd><ul>
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</h1><!-- doxytag: class="QuantLib::AnalyticDigitalAmericanEngine" --><!-- doxytag: inherits="QuantLib::OneAssetOption::engine" --><code>#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp></code>
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<a href="class_quant_lib_1_1_analytic_digital_american_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
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Analytic pricing engine for American vanilla options with digital payoff.
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<dl compact><dt><b><a class="el" href="todo.html#_todo000050">Todo:</a></b></dt><dd>add more greeks (as of now only delta and rho available)</dd></dl>
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<dl compact><dt><b><a class="el" href="test.html#_test000089">Tests:</a></b></dt><dd><ul>
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<li>the correctness of the returned value in case of cash-or-nothing at-hit digital payoff is tested by reproducing results available in literature.</li><li>the correctness of the returned value in case of asset-or-nothing at-hit digital payoff is tested by reproducing results available in literature.</li><li>the correctness of the returned value in case of cash-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.</li><li>the correctness of the returned value in case of asset-or-nothing at-expiry digital payoff is tested by reproducing results available in literature.</li><li>the correctness of the returned greeks in case of cash-or-nothing at-hit digital payoff is tested by reproducing numerical derivatives. </li></ul>
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