Analytic pricing engine for double barrier binary options. More...
#include <qle/pricingengines/analyticdoublebarrierbinaryengine.hpp>
Public Member Functions | |
AnalyticDoubleBarrierBinaryEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > gbsp, const Date &payDate, const bool flipResults=false) | |
void | calculate () const override |
Analytic pricing engine for double barrier binary options.