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QuantLib_AnalyticCliquetEngine
Langue: en
Version: 171336 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
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
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- the correctness of the returned value is tested by reproducing results available in literature.
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- the correctness of the returned greeks is tested by reproducing numerical derivatives.
Author
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