AnalyticContinuousFloatingLookbackEngine Class Reference

#include <ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp>

Inheritance diagram for AnalyticContinuousFloatingLookbackEngine:

Inheritance graph
[legend]
List of all members.

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