Posted by
Luigi Ballabio on
Sep 10, 2010; 3:02pm
URL: http://quantlib.414.s1.nabble.com/Cliquet-Pricing-tp7689p7690.html
On Sat, 2010-09-04 at 03:32 +0530, animesh saxena wrote:
>
> I have taken the code from test-suite. Basically some form Cliquet and
> some from Heston. I wanted to pricing Cliquet option using Heston
> Process. If I simply use CliquetOption and setPricingEngine to
> AnalyticHestonEngine then it's giving ABORT SIGNAL. Can anyone help me
> with this??
There's a rather tight coupling between instruments and engines. The
AnalyticHestonEngine calculates the price of vanilla call/put options
and won't work with cliquet options (it doesn't know the formula for
those.)
Luigi
--
Always code as if the guy who ends up maintaining your code will be
a violent psychopath who knows where you live.
-- Martin Golding
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