QuantLib: a free/open-source library for quantitative finance
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perturbativebarrieroptionengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 StatPro Italia srl
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file perturbativebarrieroptionengine.hpp
21 \brief perturbative barrier-option engine
22*/
23
24#ifndef quantlib_perturbative_barrier_option_engine_hpp
25#define quantlib_perturbative_barrier_option_engine_hpp
26
29
30namespace QuantLib {
31
32 //! perturbative barrier-option engine
33 /*! This engine implements the approach described in
34 <http://www.econ.univpm.it/recchioni/finance/w3/>.
35
36 \warning This was reported to fail tests on Mac OS X 10.8.4.
37
38 \ingroup barrierengines
39 */
41 public:
42 explicit PerturbativeBarrierOptionEngine(ext::shared_ptr<GeneralizedBlackScholesProcess>,
43 Natural order = 1,
44 bool zeroGamma = false);
45 void calculate() const override;
46
47 private:
48 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
51 };
52
53}
54
55
56#endif
57
Barrier option on a single asset.
Black-Scholes processes.
Barrier-option engine base class
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
unsigned QL_INTEGER Natural
positive integer
Definition: types.hpp:43
Definition: any.hpp:35