QuantLib_AnalyticDoubleBarrierBinaryEngine man page
AnalyticDoubleBarrierBinaryEngine — Analytic pricing engine for double barrier binary options.
Public Member Functions
AnalyticDoubleBarrierBinaryEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
void calculate () const
Additional Inherited Members
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
the correctness of the returned value is tested by reproducing results available in literature.
Generated automatically by Doxygen for QuantLib from the source code.
AnalyticDoubleBarrierBinaryEngine(3) is an alias of QuantLib_AnalyticDoubleBarrierBinaryEngine(3).