BinomialBarrierEngine< T, D > Class Template Reference

Pricing engine for barrier options using binomial trees. More...

#include <ql/pricingengines/barrier/binomialbarrierengine.hpp>

Inheritance diagram for BinomialBarrierEngine< T, D >:

Public Member Functions
	BinomialBarrierEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size maxTimeSteps=0)
void	calculate () const
Public Member Functions inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
PricingEngine::arguments *	getArguments () const
const PricingEngine::results *	getResults () const
void	reset ()
void	update ()
Public Member Functions inherited from PricingEngine
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
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< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Member Functions inherited from BarrierOption::engine
bool	triggered (Real underlying) const
Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
BarrierOption::arguments	arguments_
BarrierOption::results	results_

Detailed Description

template<class T, class D>
class QuantLib::BinomialBarrierEngine< T, D >

Pricing engine for barrier options using binomial trees.

Note

Timesteps for Cox-Ross-Rubinstein trees are adjusted using Boyle and Lau algorithm. See Journal of Derivatives, 1/1994, "Bumping up against the barrier with the binomial method"

Tests:

the correctness of the returned values is tested by checking it against analytic european results.

Constructor & Destructor Documentation

BinomialBarrierEngine()

BinomialBarrierEngine	(	const ext::shared_ptr< GeneralizedBlackScholesProcess > &	process,
		Size	timeSteps,
		Size	maxTimeSteps = 0
	)

The maxTimeSteps parameter is used to limit timeSteps when using Boyle-Lau optimization. If zero (the default) the maximum number of steps is calculated by an heuristic: anything when < 1000, otherwise no more than 5*timeSteps. If maxTimeSteps is equal to timeSteps, Boyle-Lau is disabled. Likewise if the lattice is not CoxRossRubinstein Boyle-Lau is disabled and maxTimeSteps ignored.