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