AnalyticContinuousFixedLookbackEngine (3) - Linux Manuals

AnalyticContinuousFixedLookbackEngine: Pricing engine for European continuous fixed-strike lookback.

NAME

QuantLib::AnalyticContinuousFixedLookbackEngine - Pricing engine for European continuous fixed-strike lookback.

SYNOPSIS

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

Inherits QuantLib::ContinuousFixedLookbackOption::engine.

Public Member Functions

AnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void calculate () const

Detailed Description

Pricing engine for European continuous fixed-strike lookback.

Formula from 'Option Pricing Formulas', E.G. Haug, McGraw-Hill, 1998, p.63-64

Tests

returned values are verified against results from literature

Author

Generated automatically by Doxygen for QuantLib from the source code.