QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
analyticdoublebarrierengine.hpp File Reference

Analytic double barrier european option engines. More...

#include <ql/instruments/doublebarrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

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Classes

class  AnalyticDoubleBarrierEngine
 Pricing engine for double barrier european options using analytical formulae. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Analytic double barrier european option engines.

! Valid only if strike is in barrier range

Definition in file analyticdoublebarrierengine.hpp.