AnalyticBarrierEngine (3) - Linux Manuals

AnalyticBarrierEngine: Pricing engine for barrier options using analytical formulae.

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

Generated automatically by Doxygen for QuantLib from the source code.