PerformanceOption Class Reference

#include <performanceoption.hpp>

List of all members.


Detailed Description

Performance option.

A performance option is a variant of a cliquet option: the payoff of each forward-starting (a.k.a. deferred strike) options is $ max(S/X- 1) $.


Public Member Functions

 PerformanceOption (Option::Type type, double underlying, double moneyness, const std::vector< Spread > &dividendYield, const std::vector< Rate > &riskFreeRate, const std::vector< Time > &times, const std::vector< double > &volatility)
double value () const
double delta () const
double gamma () const
double theta () const
double vega () const
double rho () const
double dividendRho () const


The documentation for this class was generated from the following files:

QuantLib.org
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