Re: Doubel Barrier Engine Problem

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Doubel-Barrier-Engine-Problem-tp16572p16600.html

True, rebateIn seems to be calculated but not used.  May you send a patch?

Thanks,

    Luigi

On Sun, May 17, 2015 at 12:16 PM, Seric Chen <[hidden email]> wrote:

Deal all,

I find that in WulinYongDoubleBarrierEngine.

The return value is barrierOut without taking account of the rebate.

It should add the rebateIn.

--

Zach Chen

Email: [hidden email]

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