QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
barrieroption Directory Reference

Files

file  analyticdoublebarrierengine.hpp
 Analytic double-barrier option engine.
 
file  doublebarrieroption.hpp
 Double-barrier option on a single asset.
 
file  perturbativebarrieroptionengine.hpp
 perturbative barrier-option engine
 
file  vannavolgabarrierengine.hpp
 Vanna/Volga barrier option engine.
 
file  vannavolgadoublebarrierengine.hpp
 Vanna/Volga double-barrier option engine.
 
file  vannavolgainterpolation.hpp
 Vanna/Volga interpolation between discrete points.