AnalyticPerformanceEngine Class Reference
Pricing engine for performance options using analytical formulae. More...
#include <ql/pricingengines/cliquet/analyticperformanceengine.hpp>
Inheritance diagram for AnalyticPerformanceEngine:

Public Member Functions | |
AnalyticPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
Detailed Description
Pricing engine for performance options using analytical formulae.
- Tests:
- the correctness of the returned greeks is tested by reproducing numerical derivatives.