AnalyticBarrierEngine Class Reference

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

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

Inheritance diagram for AnalyticBarrierEngine:

Public Member Functions
	AnalyticBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void	calculate () const

Additional Inherited Members
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

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.