QuantLib_BinomialDoubleBarrierEngine man page

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

Synopsis

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

Inherits DoubleBarrierOption::engine.

Public Member Functions

BinomialDoubleBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps)

void calculate () const

Additional Inherited Members

Detailed Description

template<class T, class D = DiscretizedDoubleBarrierOption>

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

Note:

This engine requires a the discretized option classes. By default uses a standard binomial implementation, but it can also work with DiscretizedDermanKaniDoubleBarrierOption to implement a Derman-Kani optimization.

Tests

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BinomialDoubleBarrierEngine(3) is an alias of QuantLib_BinomialDoubleBarrierEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib