QuantLib_AnalyticDoubleBarrierBinaryEngine man page

AnalyticDoubleBarrierBinaryEngine — Analytic pricing engine for double barrier binary options.

Synopsis

#include <ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.hpp>

Inherits DoubleBarrierOption::engine.

Public Member Functions

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

void calculate () const

Additional Inherited Members

Detailed Description

Analytic pricing engine for double barrier binary options.

This engine implements C.H.Hui series ('One-Touch Double Barrier Binary Option Values', Applied Financial Economics 6/1996), as described in 'The complete guide to option pricing formulas 2nd Ed', E.G. Haug, McGraw-Hill, p.180

The Knock In part of KI+KO and KO+KI options pays at hit, while the Double Knock In pays at end. This engine thus requires European esercise for Double Knock options, and American exercise for KIKO/KOKI.

greeks are calculated by simple numeric derivation

Tests

·
the correctness of the returned value is tested by reproducing results available in literature.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticDoubleBarrierBinaryEngine(3) is an alias of QuantLib_AnalyticDoubleBarrierBinaryEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib