PerformanceOption Class Reference

#include <ql/Pricers/performanceoption.hpp>

List of all members.


Detailed Description

Performance 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) $.

Deprecated:
Use CliquetOption with AnalyticPerformanceEngine instead


Public Member Functions

 PerformanceOption (Option::Type type, Real underlying, Real moneyness, const std::vector< Spread > &dividendYield, const std::vector< Rate > &riskFreeRate, const std::vector< Time > &times, const std::vector< Volatility > &volatility)
Real value () const
Real delta () const
Real gamma () const
Real theta () const
Real vega () const
Real rho () const
Real dividendRho () const


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