AnalyticBarrierEngine

[enrico.michelotti]

Hello all,
in the AnalyticBarrirEngine class the code checks for the strike to be strictly positive(analyticbarrierengine.cpp : line 33). Is there any reason for that?
It seems to me that is should not be the case, since if the strike is exactly zero the engine should return the price for an AssetOrNothing Barrier option paying out the value of the asset at expiry.

Enrico

[Luigi Ballabio]

Enrico,
    apologies for the delay.

On 1/9/06, enrico.michelotti <[hidden email]> wrote:
> in the AnalyticBarrirEngine class the code checks for the strike to be strictly positive(analyticbarrierengine.cpp : line 33). Is there any reason for that?
> It seems to me that is should not be the case, since if the strike is exactly zero the engine should return the price for an AssetOrNothing Barrier option paying out the value of the asset at expiry.

Yes, but we should add the code for managing that case. Until we do
that, I think the requirement needs to be there.

Luigi