Wrapper engine for the QuantLib engine to take settlement delay into account. More...
#include <qle/pricingengines/analyticdoublebarrierengine.hpp>
Public Member Functions | |
AnalyticDoubleBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, const Date &paymentDate, int series=5) | |
void | calculate () const override |
Wrapper engine for the QuantLib engine to take settlement delay into account.