QuantLib_AnalyticCliquetEngine man page

AnalyticCliquetEngine — Pricing engine for Cliquet options using analytical formulae.

Synopsis

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

Inherits CliquetOption::engine.

Public Member Functions

AnalyticCliquetEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void calculate () const

Additional Inherited Members

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticCliquetEngine(3) is an alias of QuantLib_AnalyticCliquetEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib