AnalyticPerformanceEngine Class Reference
[Cliquet option engines]
#include <ql/pricingengines/cliquet/analyticperformanceengine.hpp>
Inheritance diagram for AnalyticPerformanceEngine:

Detailed Description
Pricing engine for performance options using analytical formulae.
- Tests:
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
Public Member Functions | |
void | calculate () const |