QuantLib_PerturbativeBarrierOptionEngine man page

PerturbativeBarrierOptionEngine — perturbative barrier-option engine  


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

Inherits BarrierOption::engine.

Public Member Functions

PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false)
void calculate () const

Additional Inherited Members

Detailed Description

perturbative barrier-option engine

This engine implements the approach described in http://www.econ.univpm.it/recchioni/finance/w3/.


This was reported to fail tests on Mac OS X 10.8.4.


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Referenced By

The man page PerturbativeBarrierOptionEngine(3) is an alias of QuantLib_PerturbativeBarrierOptionEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib