QuantLib_AnalyticContinuousPartialFloatingLookbackEngine

AnalyticContinuousPartialFloatingLookbackEngine — Pricing engine for European continuous partial-time floating-strike lookback option.

Synopsis

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

Inherits ContinuousPartialFloatingLookbackOption::engine.

Public Member Functions

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

void calculate () const

Additional Inherited Members

Detailed Description

Pricing engine for European continuous partial-time floating-strike lookback option.

Formula from 'Option Pricing Formulas, Second Edition', E.G. Haug, 2006, p.146

Tests

returned values verified against results from literature

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticContinuousPartialFloatingLookbackEngine(3) is an alias of QuantLib_AnalyticContinuousPartialFloatingLookbackEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib