AnalyticBarrierEngine Class Reference

Pricing engine for barrier options using analytical formulae. More...

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

Inheritance diagram for AnalyticBarrierEngine:

Public Member Functions

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

Additional Inherited Members

- Protected Member Functions inherited from BarrierOption::engine
bool triggered (Real underlying) const
 
- Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
BarrierOption::arguments arguments_
 
BarrierOption::results results_
 

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.