1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2014 Thema Consulting SA
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 /*! \file analyticbinarybarrierengine.hpp
21     \brief analytic binary barrier (cash/asset or nothing plus in-the-money check) option engine
22 */
23 
24 #ifndef quantlib_binary_barrier_engine_hpp
25 #define quantlib_binary_barrier_engine_hpp
26 
27 #include <ql/instruments/barrieroption.hpp>
28 #include <ql/processes/blackscholesprocess.hpp>
29 
30 namespace QuantLib {
31 
32     //! Analytic pricing engine for American binary barriers options
33     /*! The formulas are taken from "The complete guide to option pricing formulas 2nd Ed",
34          E.G. Haug, McGraw-Hill, p.176 and following.
35 
36         \ingroup barrierengines
37 
38         \test
39         - the correctness of the returned value in case of
40           cash-or-nothing at-expiry binary payoff is tested by
41           reproducing results available in literature.
42         - the correctness of the returned value in case of
43           asset-or-nothing at-expiry binary payoff is tested by
44           reproducing results available in literature.
45     */
46     class AnalyticBinaryBarrierEngine : public BarrierOption::engine {
47       public:
48         AnalyticBinaryBarrierEngine(
49                     const ext::shared_ptr<GeneralizedBlackScholesProcess>&);
50         void calculate() const;
51       private:
52         ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
53     };
54 
55 }
56 
57 
58 #endif
59