QuantLib_WulinYongDoubleBarrierEngine man page

WulinYongDoubleBarrierEngine — Pricing engine for barrier options using analytical formulae.

Synopsis

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

Inherits DoubleBarrierOption::engine.

Public Member Functions

WulinYongDoubleBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, int series=5)

void calculate () const

Additional Inherited Members

Detailed Description

Pricing engine for barrier options using analytical formulae.

The formulas are taken from 'Barrier Option Pricing', Wulin Suo, Yong Wang.

Tests

the correctness of the returned value is tested by reproducing results available in literature.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

WulinYongDoubleBarrierEngine(3) is an alias of QuantLib_WulinYongDoubleBarrierEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib