QuantLib_ContinuousFixedLookbackOption man page

ContinuousFixedLookbackOption — Continuous-fixed lookback option.


#include <ql/instruments/lookbackoption.hpp>

Inherits OneAssetOption.

Inherited by ContinuousPartialFixedLookbackOption.


class arguments
Arguments for continuous fixed lookback option calculation
class engine
Continuous fixed lookback engine base class

Public Member Functions

ContinuousFixedLookbackOption (Real currentMinmax, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void setupArguments (PricingEngine::arguments *) const

Protected Attributes

Real minmax_

Additional Inherited Members

Detailed Description

Continuous-fixed lookback option.

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Reimplemented in ContinuousPartialFixedLookbackOption.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ContinuousFixedLookbackOption(3) and minmax_(3) are aliases of QuantLib_ContinuousFixedLookbackOption(3).

QuantLib Version 1.8.1 Fri Sep 23 2016