QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Analytic barrier option engines. More...
#include <ql/instruments/barrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Go to the source code of this file.
Classes | |
class | AnalyticBarrierEngine |
Pricing engine for barrier options using analytical formulae. More... | |
Namespaces | |
namespace | QuantLib |
Analytic barrier option engines.
Definition in file analyticbarrierengine.hpp.