QuantLib_AnalyticCliquetEngine

Langue: en

Autres versions - même langue

Version: 383326 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::AnalyticCliquetEngine -

Pricing engine for Cliquet options using analytical formulae.

SYNOPSIS


#include <ql/pricingengines/cliquet/analyticcliquetengine.hpp>

Inherits QuantLib::CliquetOption::engine.

Public Member Functions


AnalyticCliquetEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void calculate () const

Detailed Description

Pricing engine for Cliquet options using analytical formulae.

Tests

*
the correctness of the returned value is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.

Author

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