QuantLib_BinomialBarrierEngine man page

BinomialBarrierEngine< T, D > — Pricing engine for barrier options using binomial trees.

Synopsis

#include <ql/pricingengines/barrier/binomialbarrierengine.hpp>

Inherits BarrierOption::engine.

Public Member Functions

BinomialBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size maxTimeSteps=0)

void calculate () const

Additional Inherited Members

Detailed Description

template<class T, class D>

class QuantLib::BinomialBarrierEngine< T, D >" Pricing engine for barrier options using binomial trees.

Note:

Timesteps are adjusted using Boyle and Lau algorithm. See Journal of Derivatives, 1/1994, 'Bumping up against the barrier with the binomial method'

Tests

the correctness of the returned values is tested by checking it against analytic european results.

Constructor & Destructor Documentation

BinomialBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > & process, Size timeSteps, Size maxTimeSteps = 0)

Parameters:

maxTimeSteps is used to limit timeSteps when using Boyle-Lau optimization. If zero (the default) the maximum number of steps is calculated by an heuristic: anything when < 1000, otherwise no more than 5*timeSteps. If maxTimeSteps is equal to timeSteps Boyle-Lau is disabled.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BinomialBarrierEngine(3) is an alias of QuantLib_BinomialBarrierEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib