QuantLib_ContinuousFloatingLookbackOption man page
ContinuousFloatingLookbackOption — Continuous-floating lookback option.
Inherited by ContinuousPartialFloatingLookbackOption.
Arguments for continuous floating lookback option calculation
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
Additional Inherited Members
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.
Generated automatically by Doxygen for QuantLib from the source code.
ContinuousFloatingLookbackOption(3) is an alias of QuantLib_ContinuousFloatingLookbackOption(3).