analyticcontinuousfixedlookback (3) Linux Manual Page

ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp – Analytic engine for continuous fixed-strike lookback.

Synopsis

#include <ql/instruments/lookbackoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

Classes

class AnalyticContinuousFixedLookbackEngine
Pricing engine for European continuous fixed-strike lookback.

Detailed Description

Analytic engine for continuous fixed-strike lookback.

Author

Generated automatically by Doxygen for QuantLib from the source code.