AnalyticCliquetEngine (3) Linux Manual Page
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.
- *