QuantLib: AnalyticTwoAssetBarrierEngine Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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AnalyticTwoAssetBarrierEngine Class Reference
Pricing engines » Barrier option engines

Analytic engine for barrier option on two assets. More...

`#include <ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp>`

Inheritance diagram for AnalyticTwoAssetBarrierEngine:
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## Public Member Functions
| AnalyticTwoAssetBarrierEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, const Handle< Quote > &rho)
void | calculate () const
Public Member Functions inherited from GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results >
PricingEngine::arguments * | getArguments () const
const PricingEngine::results * | getResults () const
void | reset ()
void | update ()
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (const Observable &)
void | notifyObservers ()
Public Member Functions inherited from Observer
| Observer (const Observer &)
Observer & | operator= (const Observer &)
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
Size | unregisterWith (const boost::shared_ptr< Observable > &)
void | unregisterWithAll ()

## Additional Inherited Members
Protected Member Functions inherited from TwoAssetBarrierOption::engine
bool | triggered (Real underlying) const
Protected Attributes inherited from GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results >
TwoAssetBarrierOption::arguments | arguments_
TwoAssetBarrierOption::results | results_

## Detailed Description

Analytic engine for barrier option on two assets.

The formulas are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill,

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