QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes
Barrier option engines

Classes

class  BinomialDoubleBarrierEngine< T, D >
 Pricing engine for double barrier options using binomial trees. More...
 
class  PerturbativeBarrierOptionEngine
 perturbative barrier-option engine More...
 
class  SuoWangDoubleBarrierEngine
 Pricing engine for barrier options using analytical formulae. More...
 
class  VannaVolgaBarrierEngine
 Vanna/Volga barrier option engine. More...
 
class  VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine >
 Vanna Volga double-barrier option engine. More...
 
class  AnalyticTwoAssetBarrierEngine
 Analytic engine for barrier option on two assets. More...
 
class  AnalyticBarrierEngine
 Pricing engine for barrier options using analytical formulae. More...
 
class  AnalyticBinaryBarrierEngine
 Analytic pricing engine for American binary barriers options. More...
 
class  AnalyticDoubleBarrierBinaryEngine
 Analytic pricing engine for double barrier binary options. More...
 
class  AnalyticDoubleBarrierEngine
 Pricing engine for double barrier european options using analytical formulae. More...
 
class  BinomialBarrierEngine< T, D >
 Pricing engine for barrier options using binomial trees. More...
 
class  FdBlackScholesBarrierEngine
 Finite-differences Black/Scholes barrier-option engine. More...
 
class  FdBlackScholesRebateEngine
 Finite-differences Black/Scholes barrier-option rebate helper engine. More...
 
class  FdHestonBarrierEngine
 Finite-differences Heston barrier-option engine. More...
 
class  FdHestonDoubleBarrierEngine
 Finite-Differences Heston Double Barrier Option engine. More...
 
class  FdHestonRebateEngine
 Finite-differences Heston barrier-option rebate helper engine. More...
 
class  MCBarrierEngine< RNG, S >
 Pricing engine for barrier options using Monte Carlo simulation. More...
 

Detailed Description