QuantLib_BinomialBarrierEngine man page

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


#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.


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


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)


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. Likewise if the lattice is not CoxRossRubinstein Boyle-Lau is disabled and maxTimeSteps ignored.


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Referenced By

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

Fri Feb 10 2017 Version 1.9.1 QuantLib