Double barrier options in QL?

[Giorgio Pazmandi]

Hi all,

   I have seen that the current version of QL supports single barrier options (Down/Up and In/Out), but I didn't see any support for double barrier ("corridor") options. Is there an implementation that I did not find? If not, is support for such instruments planned in one of the next releases?

 

Thank you in advance and best regards,

 

Giorgio Pazmandi

THEMA Consulting

 

 

This message (including any attachments) contains confidential and/or proprietary information intended only for the addressee. Any unauthorized disclosure, copying, distribution or reliance on the contents of this information is strictly prohibited and may constitute a violation of law. If you are not the intended recipient, please notify the sender immediately by responding to this e-mail, and delete the message from your system.  If you have any questions about this e-mail please notify the sender immediately.

 

------------------------------------------------------------------------------
Try before you buy = See our experts in action!
The most comprehensive online learning library for Microsoft developers
is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3,
Metro Style Apps, more. Free future releases when you subscribe now!
http://p.sf.net/sfu/learndevnow-dev2
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

On Mon, Jan 23, 2012 at 3:43 PM, Giorgio Pazmandi
<[hidden email]> wrote:
>    I have seen that the current version of QL supports single barrier
> options (Down/Up and In/Out), but I didn't see any support for double
> barrier ("corridor") options. Is there an implementation that I did not
> find? If not, is support for such instruments planned in one of the next
> releases?

No, there's no such implementation.  There are no plans either, as far
as I know.

Luigi

------------------------------------------------------------------------------
Try before you buy = See our experts in action!
The most comprehensive online learning library for Microsoft developers
is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3,
Metro Style Apps, more. Free future releases when you subscribe now!
http://p.sf.net/sfu/learndevnow-dev2
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users