Analytic pricing engine for double barrier binary options. More...

#include <analyticdoublebarrierbinaryengine.hpp>

Inheritance diagram for AnalyticDoubleBarrierBinaryEngine:

Collaboration diagram for AnalyticDoubleBarrierBinaryEngine:

Public Member Functions
	AnalyticDoubleBarrierBinaryEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >)

void	calculate () const override

Public Member Functions inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from DoubleBarrierOption::engine
bool	triggered (Real underlying) const

Protected Attributes inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >
DoubleBarrierOption::arguments	arguments_

DoubleBarrierOption::results	results_

Detailed Description

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.

greeks are calculated by simple numeric derivation

Tests: