AnalyticBarrierEngine Class Reference
Pricing engine for barrier options using analytical formulae. More...
#include <ql/pricingengines/barrier/analyticbarrierengine.hpp>
Inheritance diagram for AnalyticBarrierEngine:

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: