QuantLib 0.3.6
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Introduction to QuantLib
QuantLib components
Reference manual
AnalyticBarrierEngine Class Reference
#include <ql/PricingEngines/Barrier/analyticbarrierengine.hpp>
Inheritance diagram for AnalyticBarrierEngine:
Detailed Description
Pricing engine for barrier options using analytical formulae.The formulas are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill, p.69 and following.
Public Member Functions | |
| void | calculate () const |
