1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2004 Ferdinando Ametrano
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 /*! \file americanpayoffatexpiry.hpp
21     \brief Analytical formulae for american exercise with payoff at expiry
22 */
23 
24 #ifndef quantlib_americanpayoffatexpiry_h
25 #define quantlib_americanpayoffatexpiry_h
26 
27 #include <ql/instruments/payoffs.hpp>
28 
29 namespace QuantLib {
30 
31     //! Analytic formula for American exercise payoff at-expiry options
32     /*! \todo calculate greeks */
33     class AmericanPayoffAtExpiry {
34       public:
35         AmericanPayoffAtExpiry(
36                           Real spot,
37                           DiscountFactor discount,
38                           DiscountFactor dividendDiscount,
39                           Real variance,
40                           const ext::shared_ptr<StrikedTypePayoff>& payoff,
41                           bool knock_in = true);
42         Real value() const;
43       private:
44         Real spot_;
45         DiscountFactor discount_, dividendDiscount_;
46         Real variance_;
47 
48         Real forward_;
49         Volatility stdDev_;
50 
51         Real strike_, K_;
52 
53         Real mu_, log_H_S_;
54 
55         Real D1_, D2_, cum_d1_, cum_d2_, n_d1_, n_d2_;
56 
57         bool inTheMoney_;
58         Real Y_, X_;
59         bool knock_in_;
60     };
61 
62 
63     // inline definitions
64 
value() const65     inline Real AmericanPayoffAtExpiry::value() const {
66         return discount_ * K_ * (X_ * cum_d1_ + Y_ * cum_d2_);
67     }
68 
69 }
70 
71 
72 #endif
73