QuantLib_AnalyticBarrierEngine (3) - Linux Manuals
QuantLib_AnalyticBarrierEngine: Pricing engine for barrier options using analytical formulae.
NAME
QuantLib::AnalyticBarrierEngine - Pricing engine for barrier options using analytical formulae.
SYNOPSIS
#include <ql/pricingengines/barrier/analyticbarrierengine.hpp>
Inherits QuantLib::BarrierOption::engine.
Public Member Functions
AnalyticBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const
Detailed Description
Pricing engine for barrier options using analytical formulae.
The formulas are taken from 'Option pricing formulas', E.G. Haug, McGraw-Hill, p.69 and following.
Tests
- the correctness of the returned value is tested by reproducing results available in literature.
Examples:
Replication.cpp.
Author
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