ContinuousFloatingLookbackOption Class Reference
[Financial instruments]

#include <ql/instruments/lookbackoption.hpp>

Inheritance diagram for ContinuousFloatingLookbackOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Continuous-floating lookback option.


Public Member Functions

 ContinuousFloatingLookbackOption (Real currentMinmax, const boost::shared_ptr< StochasticProcess > &process, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())
void setupArguments (PricingEngine::arguments *) const

Protected Attributes

Real minmax_

Classes

class  arguments
 Arguments for continuous floating lookback option calculation More...
class  engine
 Continuous floating lookback engine base class More...