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analyticbarrierengine.hpp
Langue: en
Version: 172551 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
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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