org.jquantlib.pricingengines.barrier

Class AnalyticBarrierEngine

java.lang.Object

org.jquantlib.pricingengines.GenericEngine<OneAssetOption.Arguments,OneAssetOption.Results>

org.jquantlib.instruments.BarrierOption.EngineImpl

org.jquantlib.pricingengines.barrier.AnalyticBarrierEngine

All Implemented Interfaces:

PricingEngine, Observable, Observer

public class AnalyticBarrierEngine
extends BarrierOption.EngineImpl

Pricing engine for barrier options using analytical formulae

The formulas are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill, p.69 and following.

Nested Class Summary

Nested classes/interfaces inherited from interface org.jquantlib.pricingengines.PricingEngine

PricingEngine.Arguments, PricingEngine.Results

Field Summary

Fields inherited from interface org.jquantlib.pricingengines.PricingEngine

PRICING_ENGINE_NOT_SET

Constructor Summary

Constructors

Constructor and Description
AnalyticBarrierEngine(GeneralizedBlackScholesProcess process)

Method Summary

Modifier and Type	Method and Description
void	calculate()

Methods inherited from class org.jquantlib.pricingengines.GenericEngine

addObserver, countObservers, deleteObserver, deleteObservers, getArguments, getObservers, getResults, notifyObservers, notifyObservers, reset, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

AnalyticBarrierEngine

public AnalyticBarrierEngine(GeneralizedBlackScholesProcess process)

Method Detail

calculate

public void calculate()