24#ifndef quantlib_analytic_two_asset_barrier_engine_hpp
25#define quantlib_analytic_two_asset_barrier_engine_hpp
45 ext::shared_ptr<GeneralizedBlackScholesProcess> process2,
50 ext::shared_ptr<GeneralizedBlackScholesProcess>
process1_;
51 ext::shared_ptr<GeneralizedBlackScholesProcess>
process2_;
Analytic engine for barrier option on two assets.
ext::shared_ptr< GeneralizedBlackScholesProcess > process2_
Rate dividendYield1() const
Real M(Real m_a, Real m_b, Real rho) const
Time residualTime() const
ext::shared_ptr< GeneralizedBlackScholesProcess > process1_
Volatility volatility2() const
void calculate() const override
Real B(Real eta, Real phi) const
Volatility volatility1() const
Rate costOfCarry2() const
Real mu(Real b, Real vol) const
Rate costOfCarry1() const
Rate riskFreeRate() const
Rate dividendYield2() const
Real A(Real eta, Real phi) const
Shared handle to an observable.
Two-asset barrier-option engine base class
ext::function< Real(Real)> b
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
Barrier option on two assets.