Pricing engine for performance options using analytical formulae. More...
#include <ql/pricingengines/cliquet/analyticperformanceengine.hpp>
Public Member Functions | |
AnalyticPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
Additional Inherited Members | |
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CliquetOption::arguments | arguments_ |
CliquetOption::results | results_ |
Pricing engine for performance options using analytical formulae.