RE: Double Barrier Options

Posted by daniel saitowitz on Feb 29, 2004; 8:50am
URL: http://quantlib.414.s1.nabble.com/SVD-routine-error-tp2794p2802.html

Hi Guys,

I have prototyped some methods for Double Barriers in VBA and now
looking at doing a QuantLib integration.

I propose a design similar to the Current Single Barriers:

Instrument:
        doublebarrieroption.hpp
        doublebarrieroption.cpp

Pricing Engine:
        analyticdoublebarrierengine.hpp
        analyticdoublebarrierengine.cpp
        trinomialdoublebarrierengine.hpp
        trinomialdoublebarrierengine.cpp

Test Suite:
        doublebarrieroption.hpp
        doublebarrieroption.cpp


Implementations are from Haug as a series of Single Barriers so can
reuse some of the single barrier stuff here.
For the Tian's trinomial method, I see there is a trinomialtree class,
and not quite sure how to integrate with it. The tree for double
barriers has different probabibilities for top half , middle and bottom.
So can I implement it straight in the pricing engine or is it necessary
to extend the trinomialtree class?

I don't see an implementation of Tian's trinomial for Single Barriers,
so maybe I can also add:
        trinomialbarrierengine
Plus some optimisations using Richardson extrapolation. Also on the
analytic side will implement the BGK barrier adjustments.

I saw some nice uml on the website, what is being used to model this?
Any other hints or tips on getting started appreciated.

Regards
Daniel