ContinuousFloatingLookbackOption Class Reference
Continuous-floating lookback option. More...
#include <ql/instruments/lookbackoption.hpp>
Inheritance diagram for ContinuousFloatingLookbackOption:

Classes | |
class | arguments |
Arguments for continuous floating lookback option calculation More... | |
class | engine |
Continuous floating lookback engine base class More... | |
Public Member Functions | |
ContinuousFloatingLookbackOption (Real currentMinmax, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) | |
void | setupArguments (PricingEngine::arguments *) const |
Protected Attributes | |
Real | minmax_ |
Detailed Description
Continuous-floating lookback option.
Member Function Documentation
void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Option.