lookbackoption (3) Linux Manual Page

ql/instruments/lookbackoption.hpp – Lookback option on a single asset.

Synopsis

#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>

Classes

class ContinuousFloatingLookbackOption
Continuous-floating lookback option.
class ContinuousFixedLookbackOption
Continuous-fixed lookback option.
class arguments
Arguments for continuous floating lookback option calculation
class arguments
Arguments for continuous fixed lookback option calculation
class engine
Continuous floating lookback engine base class
class engine
Continuous fixed lookback engine base class

Detailed Description

Lookback option on a single asset.

Author

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