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:
  • the correctness of the returned value is tested by reproducing results available in literature.
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.


Public Member Functions

void calculate () const