AnalyticDoubleBarrierBinaryEngine Class Reference

Analytic pricing engine for double barrier binary options. More...

#include <qle/pricingengines/analyticdoublebarrierbinaryengine.hpp>

Inheritance diagram for AnalyticDoubleBarrierBinaryEngine:

Public Member Functions
	AnalyticDoubleBarrierBinaryEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > gbsp, const Date &payDate, const bool flipResults=false)
void	calculate () const override

Detailed Description

Analytic pricing engine for double barrier binary options.