barrierType_ (3) - Linux Manuals
barrierType_: 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:
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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