AnalyticPerformanceEngine Class Reference
[Cliquet option engines]

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

Inheritance diagram for AnalyticPerformanceEngine:

List of all members.


Detailed Description

Pricing engine for performance options using analytical formulae.

Tests:
the correctness of the returned greeks is tested by reproducing numerical derivatives.

Public Member Functions

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