ContinuousFixedLookbackOption Class Reference
[Financial instruments]

#include <ql/instruments/lookbackoption.hpp>

Inheritance diagram for ContinuousFixedLookbackOption:

Inheritance graph
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List of all members.

Detailed Description

Continuous-fixed lookback option.


Public Member Functions

 ContinuousFixedLookbackOption (Real currentMinmax, const boost::shared_ptr< StochasticProcess > &process, const boost::shared_ptr< StrikedTypePayoff > &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 fixed lookback option calculation More...
class  engine
 Continuous fixed lookback engine base class More...