QuantLib_ContinuousFloatingLookbackOption man page

ContinuousFloatingLookbackOption — Continuous-floating lookback option.

Synopsis

#include <ql/instruments/lookbackoption.hpp>

Inherits OneAssetOption.

Inherited by ContinuousPartialFloatingLookbackOption.

Classes

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

Public Member Functions

ContinuousFloatingLookbackOption (Real currentMinmax, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void setupArguments (PricingEngine::arguments *) const

Protected Attributes

Real minmax_

Additional Inherited Members

Detailed Description

Continuous-floating 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 ContinuousPartialFloatingLookbackOption.

Author

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Referenced By

ContinuousFloatingLookbackOption(3) is an alias of QuantLib_ContinuousFloatingLookbackOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib