#include <ql/PricingEngines/Cliquet/analyticcliquetengine.hpp>
Inheritance diagram for AnalyticCliquetEngine:
[legend]List of all members.
Detailed Description
Pricing engine for Cliquet options using analytical formulae.
- Tests:
- a) the correctness of the returned value is tested by reproducing results available in literature.
b) the correctness of the returned greeks is tested by reproducing numerical derivatives.
|
Public Member Functions |
void | calculate () const |
|