analyticcontinuousfixedlookback.hpp

Langue: en

Autres versions - même langue

Version: 168249 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

NAME

ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp - Analytic engine for continuous fixed-strike lookback.

SYNOPSIS


#include <ql/instruments/lookbackoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

Classes


class AnalyticContinuousFixedLookbackEngine
Pricing engine for European continuous fixed-strike lookback.

Detailed Description

Analytic engine for continuous fixed-strike lookback.

Author

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