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<title>QuantLib: BarrierOption Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_barrier_option.html">BarrierOption</a></div>
<h1>BarrierOption Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::BarrierOption" --><!-- doxytag: inherits="QuantLib::OneAssetOption" --><code>#include <ql/instruments/barrieroption.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for BarrierOption:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_barrier_option__inherit__graph.png" border="0" usemap="#_barrier_option__inherit__map" alt="Inheritance graph"></center>
<map name="_barrier_option__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_one_asset_option.html" title="Base class for options on a single asset." alt="" coords="5,7,131,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_barrier_option-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Barrier option on a single asset.
<p>
The analytic pricing <a class="el" href="class_quant_lib_1_1_barrier_option_1_1engine.html" title="Barrier-option engine base class">engine</a> will be used if none if passed. <dl compact><dt><b>Examples: </b></dt><dd>
<p>
<a class="el" href="_replication_8cpp-example.html#_a17">Replication.cpp</a>.</dl><table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="294feb53bf4fbbc46ee9f9428b49dc33"></a><!-- doxytag: member="QuantLib::BarrierOption::BarrierOption" ref="294feb53bf4fbbc46ee9f9428b49dc33" args="(Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)" -->
</td><td class="memItemRight" valign="bottom"><b>BarrierOption</b> (Barrier::Type barrierType, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> barrier, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> rebate, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_striked_type_payoff.html">StrikedTypePayoff</a> > &payoff, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_exercise.html">Exercise</a> > &exercise)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_barrier_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> (PricingEngine::arguments *) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_barrier_option.html#95c0837ce9c4bcc4cb9b9ff975f3bfe1">impliedVolatility</a> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> price, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &process, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const </td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1439bfbbaacb914efebb469a50d6528a"></a><!-- doxytag: member="QuantLib::BarrierOption::barrierType_" ref="1439bfbbaacb914efebb469a50d6528a" args="" -->
Barrier::Type </td><td class="memItemRight" valign="bottom"><b>barrierType_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70ca946cc3b0a75548f7f38eedd3a7a6"></a><!-- doxytag: member="QuantLib::BarrierOption::barrier_" ref="70ca946cc3b0a75548f7f38eedd3a7a6" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>barrier_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d6e88a4eb440388c167742fc333e8fd5"></a><!-- doxytag: member="QuantLib::BarrierOption::rebate_" ref="d6e88a4eb440388c167742fc333e8fd5" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>rebate_</b></td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_barrier_option_1_1arguments.html">arguments</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Arguments for barrier option calculation <a href="class_quant_lib_1_1_barrier_option_1_1arguments.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_barrier_option_1_1engine.html">engine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Barrier-option engine base class <a href="class_quant_lib_1_1_barrier_option_1_1engine.html#_details">More...</a><br></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="ad6958108bfaef12bc4ccd6b3d7a7231"></a><!-- doxytag: member="QuantLib::BarrierOption::setupArguments" ref="ad6958108bfaef12bc4ccd6b3d7a7231" args="(PricingEngine::arguments *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void setupArguments </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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 <a class="el" href="class_quant_lib_1_1_barrier_option_1_1engine.html" title="Barrier-option engine base class">engine</a> is used.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">Option</a>.</p>
</div>
</div><p>
<a class="anchor" name="95c0837ce9c4bcc4cb9b9ff975f3bfe1"></a><!-- doxytag: member="QuantLib::BarrierOption::impliedVolatility" ref="95c0837ce9c4bcc4cb9b9ff975f3bfe1" args="(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 " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> impliedVolatility </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"> <em>price</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > & </td>
<td class="paramname"> <em>process</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"> <em>accuracy</em> = <code>1.0e-4</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"> <em>maxEvaluations</em> = <code>100</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td>
<td class="paramname"> <em>minVol</em> = <code>1.0e-7</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td>
<td class="paramname"> <em>maxVol</em> = <code>4.0</code></td><td> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const</td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000032">Warning:</a></b></dt><dd>see <a class="el" href="class_quant_lib_1_1_vanilla_option.html" title="Vanilla option (no discrete dividends, no barriers) on a single asset.">VanillaOption</a> for notes on implied-volatility calculation. </dd></dl>
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