analyticcontinuousfloatinglookbackengine(3)

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

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