Analytic barrier option engines. More...
#include <ql/pricingengines/barrier/analyticdoublebarrierengine.hpp>
#include <ql/instruments/barrieroption.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes | |
class | AnalyticDoubleBarrierEngine |
Wrapper engine for the QuantLib engine to take settlement delay into account. More... | |
Analytic barrier option engines.