barrierengines man page

barrierengines — Barrier option engines

Classes

class AnalyticDoubleBarrierBinaryEngine
Analytic pricing engine for double barrier binary options.
class AnalyticDoubleBarrierEngine
Pricing engine for double barrier european options using analytical formulae.
class BinomialDoubleBarrierEngine< T, D >
Pricing engine for double barrier options using binomial trees.
class PerturbativeBarrierOptionEngine
perturbative barrier-option engine
class VannaVolgaBarrierEngine
Vanna Volga barrier option engine.
class VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine >
Vanna Volga double-barrier option engine.
class WulinYongDoubleBarrierEngine
Pricing engine for barrier options using analytical formulae.
class AnalyticTwoAssetBarrierEngine
Analytic engine for barrier option on two assets.
class FdHestonDoubleBarrierEngine
Finite-Differences Heston Double Barrier Option engine.
class AnalyticBarrierEngine
Pricing engine for barrier options using analytical formulae.
class AnalyticBinaryBarrierEngine
Analytic pricing engine for American binary barriers options.
class BinomialBarrierEngine< T, D >
Pricing engine for barrier options using binomial trees.
class FdBlackScholesBarrierEngine
Finite-Differences Black Scholes barrier option engine.
class FdBlackScholesRebateEngine
Finite-Differences Black Scholes barrier option rebate helper engine.
class FdHestonBarrierEngine
Finite-Differences Heston Barrier Option engine.
class FdHestonRebateEngine
Finite-Differences Heston Barrier Option rebate helper engine.
class MCBarrierEngine< RNG, S >
Pricing engine for barrier options using Monte Carlo simulation.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Info

Fri Sep 23 2016 Version 1.8.1 QuantLib