24#ifndef quantlib_analytic_partial_time_barrier_option_engine_hpp
25#define quantlib_analytic_partial_time_barrier_option_engine_hpp
36 ext::shared_ptr<GeneralizedBlackScholesProcess> process);
40 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
Time residualTime() const
DiscountFactor dividendDiscount() const
void calculate() const override
Real HS(Real S, Real H, Real power) const
Volatility volatility(Time t) const
Real stdDeviation() const
Real M(Real a, Real b, Real rho) const
Time coverEventTime() const
Rate riskFreeRate() const
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Real CIA(Integer n) const
Rate dividendYield() const
Real CoB2(PartialBarrier::Type barrierType) const
DiscountFactor riskFreeDiscount() const
Partial-Time-Barrier-Option engine base class
ext::function< Real(Real)> b
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates
Real Volatility
volatility
QL_INTEGER Integer
integer number
Partial-time barrier option.