RE: Double Barrier Options

Posted by rjcookusa on Mar 03, 2004; 3:47am
URL: http://quantlib.414.s1.nabble.com/SVD-routine-error-tp2794p2799.html

Haug type, analytic double barrier options

Hi

I created a double barrier class based on the barrier option class some time ago, but I don't think it ever made it into CVS. The implementation is very much like the HAUG VBA model, but I think I took out curved barriers etc. If you need to look at it, I can find it.

Julian Cook