quant-pricer-cpp
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bs_barrier.hpp
Go to the documentation of this file.
1
2#pragma once
3
4#include "quant/barrier.hpp"
5
6namespace quant::bs {
7
8double reiner_rubinstein_price(OptionType opt, const BarrierSpec& barrier, double S, double K, double r,
9 double q, double sigma, double T);
10
11}
double S
Definition bs_barrier_rr.cpp:14
double sigma
Definition bs_barrier_rr.cpp:19
double q
Definition bs_barrier_rr.cpp:18
double K
Definition bs_barrier_rr.cpp:15
double r
Definition bs_barrier_rr.cpp:17
double T
Definition bs_barrier_rr.cpp:20
BarrierSpec barrier
Definition mc_barrier.cpp:90
OptionType opt
Definition mc_barrier.cpp:89
Analytic Black–Scholes European option pricing and Greeks.
Definition black_scholes.hpp:6
double reiner_rubinstein_price(OptionType opt, const BarrierSpec &barrier, double S, double K, double r, double q, double sigma, double T)
Definition bs_barrier_rr.cpp:125
OptionType
Definition barrier.hpp:6