QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
AnalyticBinaryBarrierEngine Class Reference

Analytic pricing engine for American binary barriers options. More...

#include <ql/pricingengines/barrier/analyticbinarybarrierengine.hpp>

+ Inheritance diagram for AnalyticBinaryBarrierEngine:

Public Member Functions

 AnalyticBinaryBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- 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 boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Additional Inherited Members

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

Detailed Description

Analytic pricing engine for American binary barriers options.

The formulas are taken from "The complete guide to option pricing formulas 2nd Ed", E.G. Haug, McGraw-Hill, p.176 and following.

Tests:
  • the correctness of the returned value in case of cash-or-nothing at-expiry binary payoff is tested by reproducing results available in literature.
  • the correctness of the returned value in case of asset-or-nothing at-expiry binary payoff is tested by reproducing results available in literature.