QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
discretizeddoublebarrieroption.hpp File Reference

discretized double barrier option More...

#include <ql/discretizedasset.hpp>
#include <ql/methods/lattices/bsmlattice.hpp>
#include <ql/instruments/doublebarrieroption.hpp>
#include <ql/pricingengines/vanilla/discretizedvanillaoption.hpp>

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Classes

class  DiscretizedDoubleBarrierOption
 Standard discretized option helper class. More...
 
class  DiscretizedDermanKaniDoubleBarrierOption
 Derman-Kani-Ergener-Bardhan discretized option helper class. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

discretized double barrier option

Definition in file discretizeddoublebarrieroption.hpp.