analyticbarrierengine.hpp

Langue: en

Autres versions - même langue

Version: 383941 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/barrier/analyticbarrierengine.hpp -

Analytic barrier option engines.

SYNOPSIS


#include <ql/instruments/barrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

Classes


class AnalyticBarrierEngine
Pricing engine for barrier options using analytical formulae.

Detailed Description

Analytic barrier option engines.

Author

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