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