![]() QuantLib 0.3.7Getting startedReference manual |
PerformanceOption Class Reference#include <ql/Pricers/performanceoption.hpp>
Detailed DescriptionPerformance option.A performance option is a variant of a cliquet option: the payoff of each forward-starting (a.k.a. deferred strike) options is $ max(S/X- 1) $.
|
QuantLib.org![]() |
Hosted by![]() |
Documentation generated by![]() |