analyticdoublebarrierengine.hpp File Reference

Analytic barrier option engines. More...

#include <ql/pricingengines/barrier/analyticdoublebarrierengine.hpp>
#include <ql/instruments/barrieroption.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Go to the source code of this file.

Classes
class	AnalyticDoubleBarrierEngine
	Wrapper engine for the QuantLib engine to take settlement delay into account. More...

Namespaces
namespace	QuantExt

Detailed Description

Analytic barrier option engines.

Definition in file analyticdoublebarrierengine.hpp.