QuantLib_AnalyticContinuousPartialFixedLookbackEngine

AnalyticContinuousPartialFixedLookbackEngine — Pricing engine for European continuous partial-time fixed-strike lookback options.

Synopsis

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

Inherits ContinuousPartialFixedLookbackOption::engine.

Public Member Functions

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

void calculate () const

Additional Inherited Members

Detailed Description

Pricing engine for European continuous partial-time fixed-strike lookback options.

Formula from 'Option Pricing Formulas, Second Edition', E.G. Haug, 2006, p.148

Tests

returned values are verified against results from literature

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticContinuousPartialFixedLookbackEngine(3) is an alias of QuantLib_AnalyticContinuousPartialFixedLookbackEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib