QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
AnalyticTwoAssetBarrierEngine Class Reference

Analytic engine for barrier option on two assets. More...

#include <ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp>

+ Inheritance diagram for AnalyticTwoAssetBarrierEngine:

Public Member Functions

 AnalyticTwoAssetBarrierEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process1, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process2, const Handle< Quote > &rho)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from PricingEngine
virtual arguments * getArguments () const =0
 
virtual const results * getResults () const =0
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const 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 deepUpdate ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from TwoAssetBarrierOption::engine
bool triggered (Real underlying) const
 
- Protected Attributes inherited from GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results >
TwoAssetBarrierOption::arguments arguments_
 
TwoAssetBarrierOption::results results_
 

Detailed Description

Analytic engine for barrier option on two assets.

The formulas are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill,

Tests:
the correctness of the returned value is tested by reproducing results available in literature.