- QuantLib
- BarrierOption
Barrier option on a single asset. More...
#include <ql/instruments/barrieroption.hpp>

Classes | |
| class | arguments |
| Arguments for barrier option calculation More... | |
| class | engine |
| Barrier-option engine base class More... | |
Public Member Functions | |
| BarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) | |
| void | setupArguments (PricingEngine::arguments *) const |
| Volatility | impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const |
Protected Attributes | |
| Barrier::Type | barrierType_ |
| Real | barrier_ |
| Real | rebate_ |
Barrier option on a single asset.
The analytic pricing engine will be used if none if passed.
| void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Option.
Reimplemented in DividendBarrierOption.
| Volatility impliedVolatility | ( | Real | price, |
| const boost::shared_ptr< GeneralizedBlackScholesProcess > & | process, | ||
| Real | accuracy = 1.0e-4, |
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| Size | maxEvaluations = 100, |
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| Volatility | minVol = 1.0e-7, |
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| Volatility | maxVol = 4.0 |
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| ) | const |