- QuantLib
- AnalyticPerformanceEngine
Pricing engine for performance options using analytical formulae. More...
#include <ql/pricingengines/cliquet/analyticperformanceengine.hpp>
Public Member Functions | |
AnalyticPerformanceEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
Pricing engine for performance options using analytical formulae.