QuantLib_AnalyticBarrierEngine (3) Linux Manual Page

QuantLib::AnalyticBarrierEngine – Pricing engine for barrier options using analytical formulae.

Synopsis

#include <ql/pricingengines/barrier/analyticbarrierengine.hpp>

Inherits QuantLib::BarrierOption::engine.

AnalyticBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void calculate () const

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.

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