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

Files

file  analyticdoublebarrierbinaryengine.hpp
 analytic binary double barrier (one-touch double barrier) option engine
 
file  analyticdoublebarrierengine.hpp
 Analytic double barrier european option engines.
 
file  binomialdoublebarrierengine.hpp
 Binomial Double Barrier option engine.
 
file  discretizeddoublebarrieroption.hpp
 
file  doublebarrieroption.hpp
 double Barrier european option on a single asset
 
file  doublebarriertype.hpp
 Double Barrier type.
 
file  perturbativebarrieroptionengine.hpp
 perturbative barrier-option engine
 
file  quantodoublebarrieroption.hpp
 Quanto version of a double barrier option.
 
file  vannavolgabarrierengine.hpp
 Vanna/Volga barrier option engine.
 
file  vannavolgadoublebarrierengine.hpp
 Vanna/Volga double-barrier option engine.
 
file  vannavolgainterpolation.hpp
 Vanna/Volga interpolation between discrete points.
 
file  wulinyongdoublebarrierengine.hpp
 Wulin Suo, Yong Wang double-barrier option engine.