QuantLib_ContinuousFloatingLookbackOption man page

ContinuousFloatingLookbackOption — Continuous-floating lookback option.


#include <ql/instruments/lookbackoption.hpp>

Inherits OneAssetOption.

Inherited by ContinuousPartialFloatingLookbackOption.


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.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

QuantLib Version 1.8.1 Fri Sep 23 2016