Pricing engine for double barrier european options using analytical formulae. More...
#include <ql/experimental/barrieroption/analyticdoublebarrierengine.hpp>
 Inheritance diagram for AnalyticDoubleBarrierEngine:
 Inheritance diagram for AnalyticDoubleBarrierEngine:| Public Member Functions | |
| AnalyticDoubleBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, int series=5) | |
| void | calculate () const | 
|  Public Member Functions inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::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 DoubleBarrierOption::engine | |
| bool | triggered (Real underlying) const | 
|  Protected Attributes inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results > | |
| DoubleBarrierOption::arguments | arguments_ | 
| DoubleBarrierOption::results | results_ | 
Pricing engine for double barrier european options using analytical formulae.
The formulas are taken from "The complete guide to option pricing formulas 2nd Ed", E.G. Haug, McGraw-Hill, p.156 and following. Implements the Ikeda and Kunitomo series (see "Pricing Options with Curved Boundaries" Mathematical Finance 2/1992"). This code handles only flat barriers