QuantLib_BarrierOption (3) - Linux Manuals

QuantLib_BarrierOption: Barrier option on a single asset.

NAME

QuantLib::BarrierOption - Barrier option on a single asset.

SYNOPSIS

#include <ql/instruments/barrieroption.hpp>

Inherits QuantLib::OneAssetOption.

Inherited by DividendBarrierOption, and QuantoBarrierOption.

Classes

class arguments
Arguments for barrier option calculation
class engine
Barrier-option engine base class

Public Member Functions

BarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void setupArguments (PricingEngine::arguments *) const

Volatility impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const

Protected Attributes

Barrier::Type barrierType_

Real barrier_

Real rebate_

Detailed Description

Barrier option on a single asset.

The analytic pricing engine will be used if none if passed.

Examples:

Replication.cpp.

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Option.

Reimplemented in DividendBarrierOption.

Volatility impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > & process, Real accuracy = 1.0e-4, Size maxEvaluations = 100, Volatility minVol = 1.0e-7, Volatility maxVol = 4.0) const

Warning

see VanillaOption for notes on implied-volatility calculation.

Author

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