28#ifndef quantlib_analytic_barrier_engine_hpp
29#define quantlib_analytic_barrier_engine_hpp
31#include <ql/instruments/barrieroption.hpp>
32#include <ql/processes/blackscholesprocess.hpp>
33#include <ql/math/distributions/normaldistribution.hpp>
52 ext::shared_ptr<GeneralizedBlackScholesProcess>
process_;
Pricing engine for barrier options using analytical formulae.
Real C(Real eta, Real phi) const
CumulativeNormalDistribution f_
Volatility volatility() const
DiscountFactor dividendDiscount() const
void calculate() const override
Real D(Real eta, Real phi) const
Real stdDeviation() const
Rate riskFreeRate() const
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Rate dividendYield() const
DiscountFactor riskFreeDiscount() const
Barrier-option engine base class
Cumulative normal distribution function.
Real DiscountFactor
discount factor between dates
Real Volatility
volatility