[Quantlib-users] Double barrier options in QL?

[Giorgio P. <g.p...@th...>]

Hi all,

   I have seen that the current version of QL supports single barrier
options (Down/Up and In/Out), but I didn't see any support for double
barrier ("corridor") options. Is there an implementation that I did not
find? If not, is support for such instruments planned in one of the next
releases?

 

Thank you in advance and best regards,

 

Giorgio Pazmandi

THEMA Consulting

 

 

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