Pricing engine for barrier options using binomial trees. More...
#include <ql/pricingengines/barrier/binomialbarrierengine.hpp>
Inheritance diagram for BinomialBarrierEngine< T, D >:Public Member Functions | |
| BinomialBarrierEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps, Size maxTimeSteps=0) | |
| void | calculate () const |
Public Member Functions inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from BarrierOption::engine | |
| bool | triggered (Real underlying) const |
Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results > | |
| BarrierOption::arguments | arguments_ |
| BarrierOption::results | results_ |
Pricing engine for barrier options using binomial trees.
| BinomialBarrierEngine | ( | const ext::shared_ptr< GeneralizedBlackScholesProcess > & | process, |
| Size | timeSteps, | ||
| Size | maxTimeSteps = 0 |
||
| ) |
The maxTimeSteps parameter is used to limit timeSteps when using Boyle-Lau optimization. If zero (the default) the maximum number of steps is calculated by an heuristic: anything when < 1000, otherwise no more than 5*timeSteps. If maxTimeSteps is equal to timeSteps, Boyle-Lau is disabled. Likewise if the lattice is not CoxRossRubinstein Boyle-Lau is disabled and maxTimeSteps ignored.