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QuantLib_AnalyticContinuousFixedLookbackEngine
Langue: en
Version: 374445 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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
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