24#ifndef wulin_yong_double_barrier_engine_hpp
25#define wulin_yong_double_barrier_engine_hpp
27#include <ql/instruments/doublebarrieroption.hpp>
28#include <ql/processes/blackscholesprocess.hpp>
29#include <ql/math/distributions/normaldistribution.hpp>
45 ext::shared_ptr<GeneralizedBlackScholesProcess> process,
int series = 5);
49 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
Cumulative normal distribution function.
Double-Barrier-option engine base class
Pricing engine for barrier options using analytical formulae.
CumulativeNormalDistribution f_
Time residualTime() const
Volatility volatility() const
DiscountFactor dividendDiscount() const
Real D(Real X, Real lambda, Real sigma, Real T) const
void calculate() const override
Rate riskFreeRate() const
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Rate dividendYield() const
DiscountFactor riskFreeDiscount() const
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates
Real Volatility
volatility