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analyticcliquetengine.hpp
Langue: en
Version: 379634 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/cliquet/analyticcliquetengine.hpp -Analytic Cliquet engine.
SYNOPSIS
#include <ql/instruments/cliquetoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes
class AnalyticCliquetEngine
Pricing engine for Cliquet options using analytical formulae.
Detailed Description
Analytic Cliquet engine.
Author
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