QuantLib_DoubleBarrierOption man page

DoubleBarrierOption — Double Barrier option on a single asset.

Synopsis

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

Inherits OneAssetOption.

Inherited by QuantoDoubleBarrierOption.

Classes

class arguments
Arguments for double barrier option calculation
class engine
Double-Barrier-option engine base class

Public Member Functions

DoubleBarrierOption (DoubleBarrier::Type barrierType, Real barrier_lo, Real barrier_hi, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void setupArguments (PricingEngine::arguments *) const

Volatility impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const

Protected Attributes

DoubleBarrier::Type barrierType_

Real barrier_lo_

Real barrier_hi_

Real rebate_

Additional Inherited Members

Detailed Description

Double Barrier option on a single asset.

The analytic pricing engine will be used if none if passed.

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Volatility impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > & process, Real accuracy = 1.0e-4, Size maxEvaluations = 100, Volatility minVol = 1.0e-7, Volatility maxVol = 4.0) const

Warning

see VanillaOption for notes on implied-volatility calculation.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

barrier_hi_(3), barrier_lo_(3) and DoubleBarrierOption(3) are aliases of QuantLib_DoubleBarrierOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib