Pricing engine for European continuous partial-time fixed-strike lookback options. More...
#include <ql/pricingengines/lookback/analyticcontinuouspartialfixedlookback.hpp>
Public Member Functions | |
AnalyticContinuousPartialFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
void | calculate () const |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Additional Inherited Members | |
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ContinuousPartialFixedLookbackOption::arguments | arguments_ |
ContinuousPartialFixedLookbackOption::results | results_ |
Pricing engine for European continuous partial-time fixed-strike lookback options.
Formula from "Option Pricing Formulas, Second Edition", E.G. Haug, 2006, p.148