QuantLib_AnalyticContinuousFloatingLookbackEngine

AnalyticContinuousFloatingLookbackEngine — Pricing engine for European continuous floating-strike lookback.

Synopsis

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

Inherits ContinuousFloatingLookbackOption::engine.

Public Member Functions

AnalyticContinuousFloatingLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void calculate () const

Additional Inherited Members

Detailed Description

Pricing engine for European continuous floating-strike lookback.

Formula from 'Option Pricing Formulas', E.G. Haug, McGraw-Hill, 1998, p.61-62

Tests

returned values verified against results from literature

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticContinuousFloatingLookbackEngine(3) is an alias of QuantLib_AnalyticContinuousFloatingLookbackEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib