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).