AnalyticBarrierEngine Class Reference
[Barrier option engines]

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

Inheritance diagram for AnalyticBarrierEngine:

Inheritance graph
[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.
Todo:
rework to avoid repeated casts inside utility methods


Public Member Functions

void calculate () const