AnalyticPerformanceEngine (3) - Linux Man Pages

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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