ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp File Reference

Analytic engine for continuous floating-strike lookback. More...

#include <ql/instruments/lookbackoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

Include dependency graph for analyticcontinuousfloatinglookback.hpp:


Classes

class  AnalyticContinuousFloatingLookbackEngine
 Pricing engine for European continuous floating-strike lookback. More...

Detailed Description

Analytic engine for continuous floating-strike lookback.