QuantLib: AnalyticBinaryBarrierEngine Class Reference

Analytic pricing engine for American binary barriers options. More...

Inheritance diagram for AnalyticBinaryBarrierEngine:

Collaboration diagram for AnalyticBinaryBarrierEngine:

Public Member Functions
	AnalyticBinaryBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >)

void	calculate () const override

Public Member Functions inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~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	update ()=0

virtual void	deepUpdate ()

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from BarrierOption::engine
bool	triggered (Real underlying) const

Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
BarrierOption::arguments	arguments_

BarrierOption::results	results_

Detailed Description

Analytic pricing engine for American binary barriers options.

The formulas are taken from "The complete guide to option pricing formulas 2nd Ed", E.G. Haug, McGraw-Hill, p.176 and following.

the correctness of the returned value in case of cash-or-nothing at-expiry binary payoff is tested by reproducing results available in literature.
the correctness of the returned value in case of asset-or-nothing at-expiry binary payoff is tested by reproducing results available in literature.