AnalyticContinuousFloatingLookbackEngine

NAME

AnalyticContinuousFloatingLookbackEngine − Pricing engine for European continuous floating-strike lookback.

SYNOPSIS

#include <ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp>

Inherits ContinuousFloatingLookbackOption::engine.

Public Member Functions

AnalyticContinuousFloatingLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const

Additional Inherited Members

Detailed Description

Pricing engine for European continuous floating-strike lookback.

Formula from ’Option Pricing Formulas’, E.G. Haug, McGraw-Hill, 1998, p.61-62

Tests

returned values verified against results from literature

Author

Generated automatically by Doxygen for QuantLib from the source code.