ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp File Reference
Detailed Description
Analytic engine for continuous floating-strike lookback.
#include <ql/instruments/lookbackoption.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Include dependency graph for analyticcontinuousfloatinglookback.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | AnalyticContinuousFloatingLookbackEngine |
Pricing engine for European continuous floating-strike lookback. More... |