ContinuousPartialFloatingLookbackOption — Continuous-partial-floating lookback option.
Arguments for continuous partial floating lookback option calculation
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
Additional Inherited Members
Continuous-partial-floating lookback option.
From http://help.rmetrics.org/fExoticOptions/LookbackOptions.html :
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.
Generated automatically by Doxygen for QuantLib from the source code.
The man pages ContinuousPartialFloatingLookbackOption(3), lambda_(3) and lookbackPeriodEnd_(3) are aliases of QuantLib_ContinuousPartialFloatingLookbackOption(3).