QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
AnalyticContinuousPartialFloatingLookbackEngine Class Reference

Pricing engine for European continuous partial-time floating-strike lookback option. More...

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

+ Inheritance diagram for AnalyticContinuousPartialFloatingLookbackEngine:

Public Member Functions

 AnalyticContinuousPartialFloatingLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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

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

Detailed Description

Pricing engine for European continuous partial-time floating-strike lookback option.

Formula from "Option Pricing Formulas, Second Edition", E.G. Haug, 2006, p.146

Tests:
returned values verified against results from literature