QuantLib_ContinuousPartialFixedLookbackOption

ContinuousPartialFixedLookbackOption — Continuous-partial-fixed lookback option.

Synopsis

#include <ql/instruments/lookbackoption.hpp>

Inherits ContinuousFixedLookbackOption.

Classes

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

Public Member Functions

ContinuousPartialFixedLookbackOption (Date lookbackPeriodStart, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void setupArguments (PricingEngine::arguments *) const

Protected Attributes

Date lookbackPeriodStart_

Additional Inherited Members

Detailed Description

Continuous-partial-fixed lookback option.

From http://help.rmetrics.org/fExoticOptions… :

For a partial-time fixed strike lookback option, the lookback period starts at a predetermined date after the initialization date of the option. The partial-time fixed strike lookback call option payoff is given by the difference between the maximum observed price of the underlying asset during the lookback period and the fixed strike price. The partial-time fixed strike lookback put option payoff is given by the difference between the fixed strike price and the minimum observed price of the underlying asset during the lookback period. The partial-time fixed strike lookback option is cheaper than a similar standard fixed strike lookback option. Partial-time fixed strike lookback options can be priced analytically using a model introduced by Heynen and Kat (1994).

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 ContinuousFixedLookbackOption.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ContinuousPartialFixedLookbackOption(3) and lookbackPeriodStart_(3) are aliases of QuantLib_ContinuousPartialFixedLookbackOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib