Analytic barrier option engines. More...
#include <ql/instruments/barrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Classes | |
class | AnalyticBarrierEngine |
Pricing engine for barrier options using analytical formulae. More... | |
Namespaces | |
QuantLib | |
Analytic barrier option engines.