AnalyticContinuousFloatingLookbackEngine Class Reference

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

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

Inheritance diagram for AnalyticContinuousFloatingLookbackEngine:

Public Member Functions

 AnalyticContinuousFloatingLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
 
void calculate () const
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results >
ContinuousFloatingLookbackOption::arguments arguments_
 
ContinuousFloatingLookbackOption::results results_
 

Detailed Description

Pricing engine for European continuous floating-strike lookback.

Formula from "Option Pricing Formulas", E.G. Haug, McGraw-Hill, 1998, p.61-62

Tests:
returned values verified against results from literature