QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
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
 
- Public Member Functions inherited from GenericEngine< CliquetOption::arguments, CliquetOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

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.