QuantLib_AnalyticPerformanceEngine man page

AnalyticPerformanceEngine — Pricing engine for performance options using analytical formulae.

Synopsis

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

Inherits CliquetOption::engine.

Public Member Functions

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

void calculate () const

Additional Inherited Members

Detailed Description

Pricing engine for performance options using analytical formulae.

Tests

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

AnalyticPerformanceEngine(3) is an alias of QuantLib_AnalyticPerformanceEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib