analyticcontinuousfloatinglookback (3) - Linux Manuals

analyticcontinuousfloatinglookback: Analytic engine for continuous floating-strike lookback.

NAME

ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp - Analytic engine for continuous floating-strike lookback.

SYNOPSIS

#include <ql/instruments/lookbackoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

Classes

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

Detailed Description

Analytic engine for continuous floating-strike lookback.

Author

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