ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp File Reference

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

#include <ql/instruments/lookbackoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Include dependency graph for analyticcontinuousfixedlookback.hpp:

Classes

class  AnalyticContinuousFixedLookbackEngine
 Pricing engine for European continuous fixed-strike lookback. More...

Detailed Description

Analytic engine for continuous fixed-strike lookback.