AnalyticContinuousFixedLookbackEngine Class Reference
Pricing engine for European continuous fixed-strike lookback. More...
#include <ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp>
Inheritance diagram for AnalyticContinuousFixedLookbackEngine:

Public Member Functions | |
AnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
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