QuantLib_AnalyticBinaryBarrierEngine man page

AnalyticBinaryBarrierEngine — Analytic pricing engine for American binary barriers options.

Synopsis

#include <ql/pricingengines/barrier/analyticbinarybarrierengine.hpp>

Inherits BarrierOption::engine.

Public Member Functions

AnalyticBinaryBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)

void calculate () const

Additional Inherited Members

Detailed Description

Analytic pricing engine for American binary barriers options.

The formulas are taken from 'The complete guide to option pricing formulas 2nd Ed', E.G. Haug, McGraw-Hill, p.176 and following.

Tests

·
the correctness of the returned value in case of cash-or-nothing at-expiry binary payoff is tested by reproducing results available in literature.
·
the correctness of the returned value in case of asset-or-nothing at-expiry binary payoff is tested by reproducing results available in literature.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticBinaryBarrierEngine(3) is an alias of QuantLib_AnalyticBinaryBarrierEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib