Re: binary barrier options replaced by digital options

Posted by Dirk Eddelbuettel on Jan 21, 2004; 1:17pm
URL: http://quantlib.414.s1.nabble.com/binary-barrier-options-replaced-by-digital-options-tp10473p10474.html

On Wed, Jan 21, 2004 at 12:59:02PM +0100, Ferdinando Ametrano wrote:

> As of now both the "binary barrier" and the "American digital" options are
> available in the QuantLib CVS. I am going to deprecated few files (in
> parenthesis the suggested alternative):
> 1) ql/MonteCarlo/binarybarrierpathpricer.*pp
> (ql/MonteCarlo/digitalpathpricer.*pp)
> 2) ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.*pp
> (ql/PricingEngines/Vanilla/analyticamericanengine.*pp)
> 3) ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.*pp
> (ql/PricingEngines/Vanilla/analyticeuropeanengine.*pp)
> 4) ql/PricingEngines/Barrier/mcbinarybarrierengine.hpp
> (ql/PricingEngines/Vanilla/mcdigitalengine.hpp)
> 5) ql/Instruments/binarybarrieroption.*pp (ql/Instruments/vanillaoption.*pp)
>
> I'm considering removing the deprecated files before the next release,
> unless anyone relies on them. I would do this for sake of clarity and

RQuantLib does. So I'd need to redo my code. Which should be doable. But as
you asked what would break ...

Sounds like a cool change. Congrats!

Dirk

--
The relationship between the computed price and reality is as yet unknown.  
                                             -- From the pac(8) manual page