Wrapper engine for the QuantLib engine to take settlement delay into account. More...

#include <qle/pricingengines/analyticdoublebarrierengine.hpp>

Inheritance diagram for AnalyticDoubleBarrierEngine:

Public Member Functions
	AnalyticDoubleBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, const Date &paymentDate, int series=5)

void	calculate () const override

Detailed Description

Wrapper engine for the QuantLib engine to take settlement delay into account.

Public Member Functions