AnalyticCliquetEngine Class Reference

Pricing engine for Cliquet options using analytical formulae. More...

#include <ql/pricingengines/cliquet/analyticcliquetengine.hpp>

Inheritance diagram for AnalyticCliquetEngine:

Public Member Functions
	AnalyticCliquetEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void	calculate () const

Additional Inherited Members
Protected Attributes inherited from GenericEngine< CliquetOption::arguments, CliquetOption::results >
CliquetOption::arguments	arguments_
CliquetOption::results	results_

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.