QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
BinomialDoubleBarrierEngine< T, D > Class Template Reference

Pricing engine for double barrier options using binomial trees. More...

#include <ql/experimental/barrieroption/binomialdoublebarrierengine.hpp>

+ Inheritance diagram for BinomialDoubleBarrierEngine< T, D >:
+ Collaboration diagram for BinomialDoubleBarrierEngine< T, D >:

Public Member Functions

 BinomialDoubleBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size timeSteps)
 
void calculate () const override
 
- Public Member Functions inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 

Private Attributes

ext::shared_ptr< GeneralizedBlackScholesProcessprocess_
 
Size timeSteps_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from DoubleBarrierOption::engine
bool triggered (Real underlying) const
 
- Protected Attributes inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >
DoubleBarrierOption::arguments arguments_
 
DoubleBarrierOption::results results_
 

Detailed Description

template<class T, class D = DiscretizedDoubleBarrierOption>
class QuantLib::BinomialDoubleBarrierEngine< T, D >

Pricing engine for double barrier options using binomial trees.

Note
This engine requires a the discretized option classes. By default uses a standard binomial implementation, but it can also work with DiscretizedDermanKaniDoubleBarrierOption to implement a Derman-Kani optimization.
Tests:
the correctness of the returned values is tested by checking it against analytic results.

Definition at line 50 of file binomialdoublebarrierengine.hpp.

Constructor & Destructor Documentation

◆ BinomialDoubleBarrierEngine()

BinomialDoubleBarrierEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess process,
Size  timeSteps 
)

Definition at line 52 of file binomialdoublebarrierengine.hpp.

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Member Function Documentation

◆ calculate()

void calculate
overridevirtual

Implements PricingEngine.

Definition at line 71 of file binomialdoublebarrierengine.hpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_
private

Definition at line 63 of file binomialdoublebarrierengine.hpp.

◆ timeSteps_

Size timeSteps_
private

Definition at line 64 of file binomialdoublebarrierengine.hpp.