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analyticperformanceengine.hpp
Langue: en
Version: 163356 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/cliquet/analyticperformanceengine.hpp - Analytic performance engine.SYNOPSIS
#include <ql/instruments/cliquetoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes
class AnalyticPerformanceEngine
Pricing engine for performance options using analytical formulae.
Detailed Description
Analytic performance engine.
Author
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