QuantLib_AnalyticContinuousFixedLookbackEngine (3) - Linux Manuals
QuantLib_AnalyticContinuousFixedLookbackEngine: Pricing engine for European continuous fixed-strike lookback.
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
Generated automatically by Doxygen for QuantLib from the source code.