BarrierOption Class Reference

#include <ql/Pricers/barrieroption.hpp>

Inheritance diagram for BarrierOption:

Inheritance graph
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List of all members.

Detailed Description

Barrier option.

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


Public Types

enum  BarrierType { DownIn, UpIn, DownOut, UpOut }

Public Member Functions

 BarrierOption (BarrierType barrType, Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, double barrier, double rebate=0.0)
double value () const
double delta () const
double gamma () const
double theta () const
Handle< SingleAssetOptionclone () const

Protected Member Functions

void calculate_ () const

Protected Attributes

double greeksCalculated_
double delta_
double gamma_
double theta_


The documentation for this class was generated from the following files:

QuantLib.org
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