26#ifndef quantlib_barrier_option_hpp
27#define quantlib_barrier_option_hpp
36 class GeneralizedBlackScholesProcess;
50 const ext::shared_ptr<StrikedTypePayoff>&
payoff,
51 const ext::shared_ptr<Exercise>&
exercise);
60 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
61 Real accuracy = 1.0e-4,
62 Size maxEvaluations = 100,
67 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
69 Real accuracy = 1.0e-4,
70 Size maxEvaluations = 100,
94 BarrierOption::results> {
Arguments for barrier option calculation
void validate() const override
Barrier::Type barrierType
Barrier-option engine base class
bool triggered(Real underlying) const
Barrier option on a single asset.
Barrier::Type barrierType_
void setupArguments(PricingEngine::arguments *) const override
Volatility impliedVolatility(Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
template base class for option pricing engines
Base class for options on a single asset.
ext::shared_ptr< Payoff > payoff() const
ext::shared_ptr< Exercise > exercise() const
Schedule of dividend dates.
Real Volatility
volatility
std::size_t Size
size of a container
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
Option on a single asset.
Payoffs for various options.