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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-----
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Sent: 02 March 2004 22:32
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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


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