Analytic engine for barrier option on two assets. More...
#include <ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp>
 Inheritance diagram for AnalyticTwoAssetBarrierEngine:
 Inheritance diagram for AnalyticTwoAssetBarrierEngine:| Public Member Functions | |
| AnalyticTwoAssetBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, const Handle< Quote > &rho) | |
| void | calculate () const | 
|  Public Member Functions inherited from GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > | |
| PricingEngine::arguments * | getArguments () const | 
| const PricingEngine::results * | getResults () const | 
| void | reset () | 
| void | update () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
|  Protected Member Functions inherited from TwoAssetBarrierOption::engine | |
| bool | triggered (Real underlying) const | 
|  Protected Attributes inherited from GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > | |
| TwoAssetBarrierOption::arguments | arguments_ | 
| TwoAssetBarrierOption::results | results_ | 
Analytic engine for barrier option on two assets.
The formulas are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill,