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QuantLib::AnalyticBarrierEngine Class Reference

#include <analyticbarrierengine.hpp>

Inheritance diagram for QuantLib::AnalyticBarrierEngine:

QuantLib::BarrierOption::engine QuantLib::GenericEngine< ArgumentsType, ResultsType > QuantLib::PricingEngine QuantLib::Observable

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.

Test:
the correctness of the returned value is tested by reproducing results available in literature.
Todo:
rework to avoid repeated casts inside utility methods

Definition at line 46 of file analyticbarrierengine.hpp.


Public Member Functions

Argumentsarguments () const
void calculate () const
void notifyObservers ()
void reset () const
const Resultsresults () const

Protected Attributes

ArgumentsType arguments_
ResultsType results_

Private Member Functions

Real A (Real phi) const
Real B (Real phi) const
Real barrier () const
Real C (Real eta, Real phi) const
Real D (Real eta, Real phi) const
DiscountFactor dividendDiscount () const
Rate dividendYield () const
Real E (Real eta) const
Real F (Real eta) const
Rate mu () const
Real muSigma () const
Real rebate () const
Time residualTime () const
DiscountFactor riskFreeDiscount () const
Rate riskFreeRate () const
Real stdDeviation () const
Real strike () const
Real underlying () const
Volatility volatility () const

Private Attributes

CumulativeNormalDistribution f_

The documentation for this class was generated from the following files:

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