AnalyticContinuousFloatingLookbackEngine (3) Linux Manual Page
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