AnalyticSoftBarrierEngine Class Reference

Pricing engine for soft barrier european options using an analytical formula. More...

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

Public Member Functions
	AnalyticSoftBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
void	calculate () const override

Detailed Description

Pricing engine for soft barrier european options using an analytical formula.

Formulas are taken from "The complete guide to option pricing formulas 2nd Ed", E.G. Haug, p.165. Implements a closed form solution for soft barrier options originally introduced by Hart and Ross (1994).

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.