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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2015 Thema Consulting SA
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file analyticdoublebarrierbinaryengine.hpp
\brief analytic binary double barrier (one-touch double barrier) option engine
*/
#ifndef quantlib_binary_double_barrier_engine_hpp
#define quantlib_binary_double_barrier_engine_hpp
#include <ql/instruments/doublebarrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Analytic pricing engine for double barrier binary options
/*! This engine implements C.H.Hui series ("One-Touch Double Barrier
Binary Option Values", Applied Financial Economics 6/1996), as
described in "The complete guide to option pricing formulas 2nd Ed",
E.G. Haug, McGraw-Hill, p.180
The Knock In part of KI+KO and KO+KI options pays at hit, while the
Double Knock In pays at end.
This engine thus requires European esercise for Double Knock options,
and American exercise for KIKO/KOKI.
\ingroup barrierengines
greeks are calculated by simple numeric derivation
\test
- the correctness of the returned value is tested by reproducing
results available in literature.
*/
class AnalyticDoubleBarrierBinaryEngine : public DoubleBarrierOption::engine {
public:
explicit AnalyticDoubleBarrierBinaryEngine(ext::shared_ptr<GeneralizedBlackScholesProcess>);
void calculate() const override;
private:
ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
};
}
#endif
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