RE: RE: Double Barrier Options
Posted by
daniel saitowitz on
Mar 03, 2004; 3:33pm
URL: http://quantlib.414.s1.nabble.com/SVD-routine-error-tp2794p2800.html
Hi Julian,
I would appreciate that. If you can dig it out and send it - I would be
interested.
Regards
Daniel
-----Original Message-----
From:
[hidden email]
[mailto:
[hidden email]] On Behalf Of
[hidden email]
Sent: 02 March 2004 22:32
To:
[hidden email]
Subject: [Quantlib-users] RE: Double Barrier Options
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
-------------------------------------------------------
SF.Net is sponsored by: Speed Start Your Linux Apps Now.
Build and deploy apps & Web services for Linux with
a free DVD software kit from IBM. Click Now!
http://ads.osdn.com/?ad_id=1356&alloc_id=3438&op=click_______________________________________________
Quantlib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users