QuantLib_AnalyticCliquetEngine man page
AnalyticCliquetEngine — Pricing engine for Cliquet options using analytical formulae.
Public Member Functions
AnalyticCliquetEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const
Additional Inherited Members
Pricing engine for Cliquet options using analytical formulae.
- 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.
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AnalyticCliquetEngine(3) is an alias of QuantLib_AnalyticCliquetEngine(3).