bs_barrier_rr.cpp File Reference

#include "quant/bs_barrier.hpp"
#include "quant/black_scholes.hpp"
#include <algorithm>
#include <cmath>
#include <stdexcept>

Include dependency graph for bs_barrier_rr.cpp:

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::bs
	Analytic Black–Scholes European option pricing and Greeks.

Functions
double	quant::bs::reiner_rubinstein_price (OptionType opt, const BarrierSpec &barrier, double S, double K, double r, double q, double sigma, double T)

Variable Documentation

B

double B

disc_q

double disc_q

disc_r

double disc_r

K

double K

lambda

double lambda

mu

double mu

mu_sigma

double mu_sigma

q

double q

r

double r

rebate

double rebate

S

double S

sigma

double sigma

sigma_sqrt_T

double sigma_sqrt_T

T

double T