Class BlackFxSingleBarrierOptionProductPricer


  • public class BlackFxSingleBarrierOptionProductPricer
    extends java.lang.Object
    Pricer for FX barrier option products in Black-Scholes world.

    This function provides the ability to price an ResolvedFxSingleBarrierOption.

    All of the computation is be based on the counter currency of the underlying FX transaction. For example, price, PV and risk measures of the product will be expressed in USD for an option on EUR/USD.