public AnalyticDoubleBarrierBinaryEngineHelper(
GeneralizedBlackScholesProcess process,
CashOrNothingPayoff payoff,
DoubleBarrierOption.Arguments arguments)
{
process_ = process;
payoff_ = payoff;
arguments_ = arguments;
}
public DiscretizedDoubleBarrierOption(DoubleBarrierOption.Arguments args, StochasticProcess process, TimeGrid grid = null)
{
arguments_ = args;
vanilla_ = new DiscretizedVanillaOption(arguments_, process, grid);
Utils.QL_REQUIRE(args.exercise.dates().Count > 0, () => "specify at least one stopping date");
stoppingTimes_ = new InitializedList <double>(args.exercise.dates().Count);
for (int i = 0; i < stoppingTimes_.Count; ++i)
{
stoppingTimes_[i] = process.time(args.exercise.date(i));
if (grid != null && !grid.empty())
{
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
public DiscretizedDermanKaniDoubleBarrierOption(DoubleBarrierOption.Arguments args,
StochasticProcess process, TimeGrid grid = null)
{
unenhanced_ = new DiscretizedDoubleBarrierOption(args, process, grid);
}