AnalyticPerformanceEngine (3) - Linux Manuals
AnalyticPerformanceEngine: Pricing engine for performance options using analytical formulae.
NAME
QuantLib::AnalyticPerformanceEngine - Pricing engine for performance options using analytical formulae.
SYNOPSIS
#include <ql/pricingengines/cliquet/analyticperformanceengine.hpp>
Inherits QuantLib::CliquetOption::engine.
Public Member Functions
AnalyticPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const
Detailed Description
Pricing engine for performance options using analytical formulae.
Tests
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
Author
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