analyticcliquetengine(3)

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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