#include <ql/PricingEngines/Barrier/analyticbarrierengine.hpp>
Inheritance diagram for AnalyticBarrierEngine:
[legend]List of all members.
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.
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Public Member Functions |
void | calculate () const |
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