QuantLib: BinomialDoubleBarrierEngine< T, D

Pricing engine for double barrier options using binomial trees. More...

#include <ql/experimental/barrieroption/binomialdoublebarrierengine.hpp>

Inheritance diagram for BinomialDoubleBarrierEngine< T, D >:

Public Member Functions
	BinomialDoubleBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size timeSteps)
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

template<class T, class D = DiscretizedDoubleBarrierOption>
class QuantLib::BinomialDoubleBarrierEngine< T, D >

Pricing engine for double barrier options using binomial trees.

Note: This engine requires a the discretized option classes. By default uses a standard binomial implementation, but it can also work with DiscretizedDermanKaniDoubleBarrierOption to implement a Derman-Kani optimization.

Tests: the correctness of the returned values is tested by checking it against analytic results.

template<class T, class D>

void calculate ( ) const

overridevirtual