AnalyticCliquetEngine Class Reference
[Cliquet option engines]

#include <ql/PricingEngines/Cliquet/analyticcliquetengine.hpp>

Inheritance diagram for AnalyticCliquetEngine:

Inheritance graph
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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


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