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 ext::shared_ptr< GeneralizedBlackScholesProcess > &process)
void	calculate () const
Public Member Functions inherited from GenericEngine< CliquetOption::arguments, CliquetOption::results >
PricingEngine::arguments *	getArguments () const
const PricingEngine::results *	getResults () const
void	reset ()
void	update ()
Public Member Functions inherited from PricingEngine
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
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.