ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp File Reference


Detailed Description

Analytic engine for continuous fixed-strike lookback.

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

Include dependency graph for analyticcontinuousfixedlookback.hpp:


Namespaces

namespace  QuantLib

Classes

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