I am new to quantlib and I want use it to to price a touch option (single/double).

I searched on google for example code but I could not find anything. Hence, I am not sure if quantlib supports touch option.

Could you please give me some pointers?


1 Answer 1


Touch option is simply a barrier option in QuantLib. You could create one like a down-in barrier type. You can also set the payoff to a binary payoff. The payoff is represented by the StrikePayOff class. A comprehensible example is available on github here.


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