Pricing engine for double barrier european options using analytical formulae. More...
#include <ql/experimental/barrieroption/analyticdoublebarrierengine.hpp>
Public Member Functions | |
AnalyticDoubleBarrierEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, int series=5) | |
void | calculate () const |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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bool | triggered (Real underlying) const |
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DoubleBarrierOption::arguments | arguments_ |
DoubleBarrierOption::results | results_ |
Pricing engine for double barrier european options using analytical formulae.
The formulas are taken from "The complete guide to option pricing formulas 2nd Ed", E.G. Haug, McGraw-Hill, p.156 and following. Implements the Ikeda and Kunitomo series (see "Pricing Options with Curved Boundaries" Mathematical Finance 2/1992"). This code handles only flat barriers