AnalyticCliquetEngine Class Reference

Pricing engine for Cliquet options using analytical formulae. More...

#include <ql/pricingengines/cliquet/analyticcliquetengine.hpp>

Inheritance diagram for AnalyticCliquetEngine:

Public Member Functions

 AnalyticCliquetEngine (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 Cliquet options using analytical formulae.

Tests:
  • the correctness of the returned value is tested by reproducing results available in literature.
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.