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) $.
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Public Member Functions |
| PerformanceOption (Option::Type type, double underlying, double moneyness, const std::vector< Spread > ÷ndYield, const std::vector< Rate > &riskFreeRate, const std::vector< Time > ×, const std::vector< double > &volatility) |
double | value () const |
double | delta () const |
double | gamma () const |
double | theta () const |
double | vega () const |
double | rho () const |
double | dividendRho () const |
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