26#ifndef quantlib_analytic_double_barrier_engine_hpp
27#define quantlib_analytic_double_barrier_engine_hpp
29#include <ql/instruments/doublebarrieroption.hpp>
30#include <ql/processes/blackscholesprocess.hpp>
31#include <ql/math/distributions/normaldistribution.hpp>
52 ext::shared_ptr<GeneralizedBlackScholesProcess> process,
int series = 5);
56 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
Pricing engine for double barrier european options using analytical formulae.
CumulativeNormalDistribution f_
Time residualTime() const
Volatility volatility() const
Real vanillaEquivalent() const
DiscountFactor dividendDiscount() const
void calculate() const override
Real stdDeviation() const
Real volatilitySquared() const
Rate riskFreeRate() const
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Rate dividendYield() const
DiscountFactor riskFreeDiscount() const
Cumulative normal distribution function.
Double-Barrier-option engine base class
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates
Real Volatility
volatility