- 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, | ||
| Size | maxEvaluations = 100, | ||
| Volatility | minVol = 1.0e-7, | ||
| Volatility | maxVol = 4.0 | ||
| ) | const |