AnalyticBarrierEngine Class Reference

Pricing engine for barrier options using analytical formulae. More...

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

Inheritance diagram for AnalyticBarrierEngine:

List of all members.

Public Member Functions

 AnalyticBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const

Detailed Description

Pricing engine for barrier options using analytical formulae.

The formulas are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill, p.69 and following.

Tests:
the correctness of the returned value is tested by reproducing results available in literature.
Examples:
Replication.cpp.