QuantLib_TwoAssetBarrierOption man page

TwoAssetBarrierOption — Barrier option on two assets


#include <ql/experimental/exoticoptions/twoassetbarrieroption.hpp>

Inherits Option.


class arguments
Arguments for two-asset barrier option calculation
class engine
Two-asset barrier-option engine base class

Public Member Functions

TwoAssetBarrierOption (Barrier::Type barrierType, Real barrier, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

bool isExpired () const
returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const

Protected Attributes

Barrier::Type barrierType_

Real barrier_

Additional Inherited Members

Detailed Description

Barrier option on two assets

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.


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Referenced By

TwoAssetBarrierOption(3) is an alias of QuantLib_TwoAssetBarrierOption(3).

QuantLib Version 1.8.1 Fri Sep 23 2016