Analytic pricing engine for double barrier binary options. More...
#include <ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.hpp>
Inheritance diagram for AnalyticDoubleBarrierBinaryEngine:Public Member Functions | |
| AnalyticDoubleBarrierBinaryEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &) | |
| void | calculate () const |
Public Member Functions inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| 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 boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| 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_ |
Analytic pricing engine for double barrier binary options.
This engine implements C.H.Hui series ("One-Touch Double Barrier Binary Option Values", Applied Financial Economics 6/1996), as described in "The complete guide to option pricing formulas 2nd Ed", E.G. Haug, McGraw-Hill, p.180
The Knock In part of KI+KO and KO+KI options pays at hit, while the Double Knock In pays at end. This engine thus requires European esercise for Double Knock options, and American exercise for KIKO/KOKI.
greeks are calculated by simple numeric derivation