QuantLib_AnalyticDoubleBarrierBinaryEngine man page

AnalyticDoubleBarrierBinaryEngine — Analytic pricing engine for double barrier binary options.  


#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

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


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Referenced By

The man page AnalyticDoubleBarrierBinaryEngine(3) is an alias of QuantLib_AnalyticDoubleBarrierBinaryEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib