QuantLib_AnalyticDoubleBarrierEngine man page

AnalyticDoubleBarrierEngine — Pricing engine for double barrier european options using analytical formulae.

Synopsis

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

Inherits DoubleBarrierOption::engine.

Public Member Functions

AnalyticDoubleBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, int series=5)

void calculate () const

Additional Inherited Members

Detailed Description

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

Note:

the formula holds only when strike is in the barrier range

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

AnalyticDoubleBarrierEngine(3) is an alias of QuantLib_AnalyticDoubleBarrierEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib