AnalyticBarrierEngine Class Reference
[Barrier option engines]
#include <ql/pricingengines/barrier/analyticbarrierengine.hpp>
Inheritance diagram for AnalyticBarrierEngine:

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 |