analyticcliquetengine.hpp

Langue: en

Autres versions - même langue

Version: 379634 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

NAME

ql/pricingengines/cliquet/analyticcliquetengine.hpp -

Analytic Cliquet engine.

SYNOPSIS


#include <ql/instruments/cliquetoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes


class AnalyticCliquetEngine
Pricing engine for Cliquet options using analytical formulae.

Detailed Description

Analytic Cliquet engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.