analyticbarrierengine(3)
NAME
ql/pricingengines/barrier/analyticbarrierengine.hpp – Analytic barrier option engines.
SYNOPSIS
#include <ql/instruments/barrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Classes
class AnalyticBarrierEngine
Pricing engine for barrier options using analytical formulae.
Detailed Description
Analytic barrier option engines.
Author
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