AnalyticTwoAssetBarrierEngine Class Reference

Analytic engine for barrier option on two assets. More...

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

Inheritance diagram for AnalyticTwoAssetBarrierEngine:

Public Member Functions
	AnalyticTwoAssetBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process1, ext::shared_ptr< GeneralizedBlackScholesProcess > process2, Handle< Quote > rho)
void	calculate () const override
Public Member Functions inherited from GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::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 TwoAssetBarrierOption::engine
bool	triggered (Real underlying) const
Protected Attributes inherited from GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results >
TwoAssetBarrierOption::arguments	arguments_
TwoAssetBarrierOption::results	results_

Detailed Description

Analytic engine for barrier option on two assets.

The formulas by Heynen and Kat are taken from Haug, "Option pricing formulas".

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.