BarrierOption Class Reference
[Financial instruments]

#include <ql/Instruments/barrieroption.hpp>

Inheritance diagram for BarrierOption:

Inheritance graph
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List of all members.

Detailed Description

Barrier option on a single asset.

The analytic pricing engine will be used if none if passed.


Public Member Functions

 BarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< BlackScholesProcess > &, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())
void setupArguments (Arguments *) const

Protected Member Functions

void performCalculations () const

Protected Attributes

Barrier::Type barrierType_
Real barrier_
Real rebate_


Member Function Documentation

void setupArguments 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 OneAssetStrikedOption.

void performCalculations  )  const [protected, virtual]
 

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from OneAssetStrikedOption.


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