QuantLib_PerturbativeBarrierOptionEngine man page

PerturbativeBarrierOptionEngine — perturbative barrier-option engine

Synopsis

#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/fin….

Warning

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

PerturbativeBarrierOptionEngine(3) is an alias of QuantLib_PerturbativeBarrierOptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib