QuantLib_AnalyticBarrierEngine

Langue: en

Autres versions - même langue

Version: 377290 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::AnalyticBarrierEngine -

Pricing engine for barrier options using analytical formulae.

SYNOPSIS


#include <ql/pricingengines/barrier/analyticbarrierengine.hpp>

Inherits QuantLib::BarrierOption::engine.

Public Member Functions


AnalyticBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void calculate () const

Detailed Description

Pricing engine for barrier options using analytical formulae.

The formulas are taken from 'Option pricing formulas', E.G. Haug, McGraw-Hill, p.69 and following.

Tests

the correctness of the returned value is tested by reproducing results available in literature.

Examples:

Replication.cpp.

Author

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