DiscretizedDermanKaniDoubleBarrierOption — Derman-Kani-Ergener-Bardhan discretized option helper class.  


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

Inherits DiscretizedAsset.

Public Member Functions

DiscretizedDermanKaniDoubleBarrierOption (const DoubleBarrierOption::arguments &, const StochasticProcess &process, const TimeGrid &grid=TimeGrid())
void reset (Size size)
std::vector< Time > mandatoryTimes () const

Protected Member Functions

void postAdjustValuesImpl ()

Additional Inherited Members

Detailed Description

Derman-Kani-Ergener-Bardhan discretized option helper class.

This class is used with the BinomialDoubleBarrierEngine to implement the enhanced binomial algorithm of E.Derman, I.Kani, D.Ergener, I.Bardhan ('Enhanced Numerical Methods for Options with Barriers', 1995)


This algorithm is only suitable if the payoff can be approximated linearly, e.g. is not usable for cash-or-nothing payoffs.

Member Function Documentation

void reset (Size size) [virtual]

This method should initialize the asset values to an Array of the given size and with values depending on the particular asset.

Implements DiscretizedAsset.

std::vector<Time> mandatoryTimes () const [virtual]

This method returns the times at which the numerical method should stop while rolling back the asset. Typical examples include payment times, exercise times and such.


The returned values are not guaranteed to be sorted.

Implements DiscretizedAsset.

void postAdjustValuesImpl () [protected], [virtual]

This method performs the actual post-adjustment

Reimplemented from DiscretizedAsset.


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Referenced By

The man page DiscretizedDermanKaniDoubleBarrierOption(3) is an alias of QuantLib_DiscretizedDermanKaniDoubleBarrierOption(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib