AnalyticContinuousFixedLookbackEngine Class Reference

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

Inheritance diagram for AnalyticContinuousFixedLookbackEngine:

Inheritance graph
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List of all members.

Detailed Description

Pricing engine for European continuous fixed-strike lookback.

Formula from "Option Pricing Formulas", E.G. Haug, McGraw-Hill, 1998, p.63-64

Tests:
returned values are verified against results from literature


Public Member Functions

void calculate () const