QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
AnalyticDoubleBarrierEngine Class Reference

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

#include <ql/experimental/barrieroption/analyticdoublebarrierengine.hpp>

+ Inheritance diagram for AnalyticDoubleBarrierEngine:

Public Member Functions

 AnalyticDoubleBarrierEngine (const ext::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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::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_
 

Detailed Description

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

Note
the formula holds only when strike is in the barrier range
Tests:
the correctness of the returned value is tested by reproducing results available in literature.