AnalyticCliquetEngine Class Reference
[Cliquet option engines]

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

Inheritance diagram for AnalyticCliquetEngine:

List of all 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.

Public Member Functions

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