1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2004, 2007 StatPro Italia srl 5 6 This file is part of QuantLib, a free-software/open-source library 7 for financial quantitative analysts and developers - http://quantlib.org/ 8 9 QuantLib is free software: you can redistribute it and/or modify it 10 under the terms of the QuantLib license. You should have received a 11 copy of the license along with this program; if not, please email 12 <quantlib-dev@lists.sf.net>. The license is also available online at 13 <http://quantlib.org/license.shtml>. 14 15 This program is distributed in the hope that it will be useful, but WITHOUT 16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS 17 FOR A PARTICULAR PURPOSE. See the license for more details. 18 */ 19 20 /*! \file analyticperformanceengine.hpp 21 \brief Analytic performance engine 22 */ 23 24 #ifndef quantlib_analytic_performance_engine_hpp 25 #define quantlib_analytic_performance_engine_hpp 26 27 #include <ql/instruments/cliquetoption.hpp> 28 #include <ql/processes/blackscholesprocess.hpp> 29 30 namespace QuantLib { 31 32 //! Pricing engine for performance options using analytical formulae 33 /*! \ingroup cliquetengines 34 35 \test the correctness of the returned greeks is tested by 36 reproducing numerical derivatives. 37 */ 38 class AnalyticPerformanceEngine : public CliquetOption::engine { 39 public: 40 AnalyticPerformanceEngine( 41 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process); 42 void calculate() const; 43 private: 44 ext::shared_ptr<GeneralizedBlackScholesProcess> process_; 45 }; 46 47 } 48 49 50 #endif 51