24#ifndef quantlib_double_barrier_option_hpp
25#define quantlib_double_barrier_option_hpp
33 class GeneralizedBlackScholesProcess;
48 const ext::shared_ptr<StrikedTypePayoff>&
payoff,
49 const ext::shared_ptr<Exercise>&
exercise);
56 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
57 Real accuracy = 1.0e-4,
58 Size maxEvaluations = 100,
83 DoubleBarrierOption::results> {
Arguments for double barrier option calculation
DoubleBarrier::Type barrierType
void validate() const override
Double-Barrier-option engine base class
bool triggered(Real underlying) const
Double Barrier option on a single asset.
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
DoubleBarrier::Type barrierType_
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
Real Volatility
volatility
std::size_t Size
size of a container
Option on a single asset.
Payoffs for various options.