analyticbarrierengine (3) - Linux Manuals

analyticbarrierengine: Analytic barrier option engines.

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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