analyticcliquetengine.hpp

Langue: en

Autres versions - même langue

Version: 164033 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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

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