QuantLib_AnalyticDoubleBarrierEngine man page
AnalyticDoubleBarrierEngine — Pricing engine for double barrier european options using analytical formulae.
Public Member Functions
AnalyticDoubleBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, int series=5)
void calculate () const
Additional Inherited Members
Pricing engine for double barrier european options using analytical formulae.
The formulas are taken from 'The complete guide to option pricing formulas 2nd Ed', E.G. Haug, McGraw-Hill, p.156 and following. Implements the Ikeda and Kunitomo series (see 'Pricing Options with
Curved Boundaries' Mathematical Finance 2/1992"). This code handles only flat barriers
the formula holds only when strike is in the barrier range
the correctness of the returned value is tested by reproducing results available in literature.
Generated automatically by Doxygen for QuantLib from the source code.
AnalyticDoubleBarrierEngine(3) is an alias of QuantLib_AnalyticDoubleBarrierEngine(3).