QuantLib_AnalyticContinuousFloatingLookbackEngine

Langue: en

Autres versions - même langue

Version: 382064 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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.