Analytic engine for continuous floating-strike lookback. More...
#include <ql/instruments/lookbackoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Classes | |
class | AnalyticContinuousFloatingLookbackEngine |
Pricing engine for European continuous floating-strike lookback. More... | |
Namespaces | |
namespace | QuantLib |
Analytic engine for continuous floating-strike lookback.