QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Binomial Double Barrier option engine. More...
#include <ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/methods/lattices/binomialtree.hpp>
#include <ql/methods/lattices/bsmlattice.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | BinomialDoubleBarrierEngine< T, D > |
Pricing engine for double barrier options using binomial trees. More... | |
Namespaces | |
namespace | QuantLib |
Binomial Double Barrier option engine.
Definition in file binomialdoublebarrierengine.hpp.