QuantLib_AnalyticContinuousFixedLookbackEngine

AnalyticContinuousFixedLookbackEngine — Pricing engine for European continuous fixed-strike lookback.  

Synopsis

#include <ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp>

Inherits ContinuousFixedLookbackOption::engine.

Public Member Functions

AnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const

Additional Inherited Members

Detailed Description

Pricing engine for European continuous fixed-strike lookback.

Formula from 'Option Pricing Formulas', E.G. Haug, McGraw-Hill, 1998, p.63-64

Tests

returned values are verified against results from literature

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page AnalyticContinuousFixedLookbackEngine(3) is an alias of QuantLib_AnalyticContinuousFixedLookbackEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib