com.github.vonrosen.quantlib

Class DoubleBarrierOption

java.lang.Object

com.github.vonrosen.quantlib.Instrument

com.github.vonrosen.quantlib.DoubleBarrierOption

Direct Known Subclasses:

QuantoDoubleBarrierOption

public class DoubleBarrierOption
extends Instrument

Field Summary

Fields inherited from class com.github.vonrosen.quantlib.Instrument

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	DoubleBarrierOption(DoubleBarrier.Type barrierType, double barrier_lo, double barrier_hi, double rebate, Payoff payoff, Exercise exercise)
protected	DoubleBarrierOption(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
void	delete()
double	delta()
double	dividendRho()
protected void	finalize()
double	gamma()
protected static long	getCPtr(DoubleBarrierOption obj)
double	rho()
double	strikeSensitivity()
double	theta()
double	thetaPerDay()
double	vega()

Methods inherited from class com.github.vonrosen.quantlib.Instrument

__deref__, asObservable, errorEstimate, freeze, getCPtr, isExpired, isNull, NPV, recalculate, setPricingEngine, unfreeze

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DoubleBarrierOption

protected DoubleBarrierOption(long cPtr,
                              boolean cMemoryOwn)

DoubleBarrierOption

public DoubleBarrierOption(DoubleBarrier.Type barrierType,
                           double barrier_lo,
                           double barrier_hi,
                           double rebate,
                           Payoff payoff,
                           Exercise exercise)

Method Detail

getCPtr

protected static long getCPtr(DoubleBarrierOption obj)

finalize

protected void finalize()

Overrides:

finalize in class Instrument

delete

public void delete()

Overrides:

delete in class Instrument

delta

public double delta()

gamma

public double gamma()

theta

public double theta()

thetaPerDay

public double thetaPerDay()

vega

public double vega()

rho

public double rho()

dividendRho

public double dividendRho()

strikeSensitivity

public double strikeSensitivity()