analyticcontinuousfloatinglookback.hpp

Langue: en

Autres versions - même langue

Version: 381235 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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