CliquetOptionPathPricer Class Reference

#include <cliquetoptionpathpricer.hpp>

Inheritance diagram for CliquetOptionPathPricer:

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Detailed Description

path pricer for cliquet options


Public Member Functions

 CliquetOptionPathPricer (Option::Type type, double underlying, double moneyness, double accruedCoupon, double lastFixing, double localCap, double localFloor, double globalCap, double globalFloor, const RelinkableHandle< TermStructure > &riskFreeTS)
double operator() (const Path &path) const


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

QuantLib.org
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