AnalyticContinuousFloatingLookbackEngine Class Reference
#include <ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp>
Inheritance diagram for AnalyticContinuousFloatingLookbackEngine:

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
Public Member Functions | |
void | calculate () const |