AnalyticDoubleBarrierEngine Class Reference

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

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

Inheritance diagram for AnalyticDoubleBarrierEngine:

Public Member Functions
	AnalyticDoubleBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, int series=5)
void	calculate () const override
Public Member Functions inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (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 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.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.