QuantLib_AnalyticTwoAssetBarrierEngine man page

AnalyticTwoAssetBarrierEngine — Analytic engine for barrier option on two assets.

Synopsis

#include <ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp>

Inherits TwoAssetBarrierOption::engine.

Public Member Functions

AnalyticTwoAssetBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, const Handle< Quote > &rho)

void calculate () const

Additional Inherited Members

Detailed Description

Analytic engine for barrier option on two assets.

The formulas are taken from 'Option pricing formulas', E.G. Haug, McGraw-Hill,

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

AnalyticTwoAssetBarrierEngine(3) is an alias of QuantLib_AnalyticTwoAssetBarrierEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib