QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
barrier Directory Reference

Files

file  analyticbarrierengine.hpp
 Analytic barrier option engines.
 
file  analyticbinarybarrierengine.hpp
 analytic binary barrier (cash/asset or nothing plus in-the-money check) option engine
 
file  binomialbarrierengine.hpp
 Binomial Barrier option engine.
 
file  discretizedbarrieroption.hpp
 discretized barrier option
 
file  fdblackscholesbarrierengine.hpp
 Finite-Differences Black Scholes barrier option engine.
 
file  fdblackscholesrebateengine.hpp
 Finite-Differences Black Scholes barrier option rebate helper engine.
 
file  fdhestonbarrierengine.hpp
 Finite-Differences Heston barrier option engine.
 
file  fdhestonrebateengine.hpp
 Finite-Differences Heston barrier option rebate helper engine.
 
file  mcbarrierengine.hpp
 Monte Carlo barrier option engines.