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

Analytic pricing engine for double barrier binary options. More...

#include <ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.hpp>

+ Inheritance diagram for AnalyticDoubleBarrierBinaryEngine:

Public Member Functions

 AnalyticDoubleBarrierBinaryEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::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 DoubleBarrierOption::engine
bool triggered (Real underlying) const
 
- Protected Attributes inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >
DoubleBarrierOption::arguments arguments_
 
DoubleBarrierOption::results results_
 

Detailed Description

Analytic pricing engine for double barrier binary options.

This engine implements C.H.Hui series ("One-Touch Double Barrier Binary Option Values", Applied Financial Economics 6/1996), as described in "The complete guide to option pricing formulas 2nd Ed", E.G. Haug, McGraw-Hill, p.180

The Knock In part of KI+KO and KO+KI options pays at hit, while the Double Knock In pays at end. This engine thus requires European esercise for Double Knock options, and American exercise for KIKO/KOKI.

greeks are calculated by simple numeric derivation

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