analyticdoublebarrierbinaryengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2015 Thema Consulting SA
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
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 <quantlib-dev@lists.sf.net>. The license is also available online at
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 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file analyticdoublebarrierbinaryengine.hpp
    \brief analytic binary double barrier (one-touch double barrier) option engine
*/
 
#ifndef quantlib_binary_double_barrier_engine_hpp
#define quantlib_binary_double_barrier_engine_hpp
 
#include <ql/instruments/doublebarrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
 
namespace QuantLib {
 
    //! Analytic pricing engine for double barrier binary options
    /*! This engine implements C.H.Hui series ("One-Touch Double Barrier 
        Binary Option Values", Applied Financial Economics 6/1996), as
        described in "The complete guide to option pricing formulas 2nd Ed", 
        E.G. Haug, McGraw-Hill, p.180
 
        The Knock In part of KI+KO and KO+KI options pays at hit, while the
        Double Knock In pays at end. 
        This engine thus requires European esercise for Double Knock options, 
        and American exercise for KIKO/KOKI.
 
        \ingroup barrierengines
 
        greeks are calculated by simple numeric derivation
 
        \test
        - the correctness of the returned value is tested by reproducing 
          results available in literature.
    */
    class AnalyticDoubleBarrierBinaryEngine : public DoubleBarrierOption::engine {
      public:
        explicit AnalyticDoubleBarrierBinaryEngine(ext::shared_ptr<GeneralizedBlackScholesProcess>);
        void calculate() const override;
 
      private:
        ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
    };
 
}
 
 
#endif