Rechercher une page de manuel
QuantLib_ContinuousFloatingLookbackOption
Langue: en
Version: 376671 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::ContinuousFloatingLookbackOption -Continuous-floating lookback option.
SYNOPSIS
#include <ql/instruments/lookbackoption.hpp>
Inherits QuantLib::OneAssetOption.
Classes
class arguments
Arguments for continuous floating lookback option calculation
class engine
Continuous floating lookback engine base class
Public Member Functions
ContinuousFloatingLookbackOption (Real currentMinmax, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
void setupArguments (PricingEngine::arguments *) const
Protected Attributes
Real minmax_
Detailed Description
Continuous-floating lookback option.
Member Function Documentation
void setupArguments (PricingEngine::arguments *) const [virtual]When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Option.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre