analyticdoublebarrierengine.hpp File Reference

Analytic double barrier european option engines. More...

#include <ql/instruments/doublebarrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

Go to the source code of this file.

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

Namespaces
namespace	QuantLib

Detailed Description

Analytic double barrier european option engines.

! Valid only if strike is in barrier range

Definition in file analyticdoublebarrierengine.hpp.