ql/pricingengines/cliquet/analyticperformanceengine.hpp File Reference

Analytic performance engine. More...

#include <ql/instruments/cliquetoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Include dependency graph for analyticperformanceengine.hpp:


Classes

class  AnalyticPerformanceEngine
 Pricing engine for performance options using analytical formulae. More...

Detailed Description

Analytic performance engine.