QuantLib_ContinuousPartialFloatingLookbackOption

ContinuousPartialFloatingLookbackOption — Continuous-partial-floating lookback option.

Synopsis

#include <ql/instruments/lookbackoption.hpp>

Inherits ContinuousFloatingLookbackOption.

Classes

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

Public Member Functions

ContinuousPartialFloatingLookbackOption (Real currentMinmax, Real lambda, Date lookbackPeriodEnd, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void setupArguments (PricingEngine::arguments *) const

Protected Attributes

Real lambda_

Date lookbackPeriodEnd_

Additional Inherited Members

Detailed Description

Continuous-partial-floating lookback option.

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

For a partial-time floating strike lookback option, the lookback period starts at time zero and ends at an arbitrary date before expiration. Except for the partial lookback period, the option is similar to a floating strike lookback option. The partial-time floating strike lookback option is cheaper than a similar standard floating strike lookback option. Partial-time floating 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 ContinuousFloatingLookbackOption.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ContinuousPartialFloatingLookbackOption(3), lambda_(3) and lookbackPeriodEnd_(3) are aliases of QuantLib_ContinuousPartialFloatingLookbackOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib