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.