QuantLib_ContinuousFixedLookbackOption man page

ContinuousFixedLookbackOption — Continuous-fixed lookback option.

Synopsis

#include <ql/instruments/lookbackoption.hpp>

Inherits OneAssetOption.

Inherited by ContinuousPartialFixedLookbackOption.

Classes

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 23 2016 Version 1.8.1 QuantLib