QuantLib_AnalyticContinuousFloatingLookbackEngine (3) - Linux Manuals

QuantLib_AnalyticContinuousFloatingLookbackEngine: Pricing engine for European continuous floating-strike lookback.

NAME

QuantLib::AnalyticContinuousFloatingLookbackEngine - Pricing engine for European continuous floating-strike lookback.

SYNOPSIS


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

Inherits QuantLib::ContinuousFloatingLookbackOption::engine.

Public Member Functions


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

void calculate () const

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.

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