AnalyticPerformanceEngine (3) Linux Manual Page

QuantLib::AnalyticPerformanceEngine – Pricing engine for performance options using analytical formulae.

Synopsis

#include <ql/pricingengines/cliquet/analyticperformanceengine.hpp>

Inherits QuantLib::CliquetOption::engine.

AnalyticPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void calculate () const

Pricing engine for performance options using analytical formulae.

Tests

the correctness of the returned greeks is tested by reproducing numerical derivatives.

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