lballabio/quantlib — pull request #138 by rglarix (2014-09-24 07:05:23+00:00)
Title: single barrier enhancements: binary barriers, binomial engine

This branch adds some enhancements to single barriers:
- support of binary (not digital) barriers
- binomial engine for single barrier options
- Boyle-Lau correction for single barrier binomial engine
- Derman-Kani adjustment for single barrier binomial engine
- tests