QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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>
Go to the source code of this file.
Classes | |
class | DiscretizedDoubleBarrierOption |
Standard discretized option helper class. More... | |
class | DiscretizedDermanKaniDoubleBarrierOption |
Derman-Kani-Ergener-Bardhan discretized option helper class. More... | |
Namespaces | |
namespace | QuantLib |
discretized double barrier option
Definition in file discretizeddoublebarrieroption.hpp.