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
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< CliquetOption::arguments, CliquetOption::results >
CliquetOption::arguments arguments_
 
CliquetOption::results results_
 

Detailed Description

Pricing engine for performance options using analytical formulae.

Tests:
the correctness of the returned greeks is tested by reproducing numerical derivatives.