lookbackoption.hpp

Langue: en

Autres versions - même langue

Version: 373315 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/instruments/lookbackoption.hpp -

Lookback option on a single asset.

SYNOPSIS


#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>

Classes


class ContinuousFloatingLookbackOption
Continuous-floating lookback option.
class ContinuousFixedLookbackOption
Continuous-fixed lookback option.
class ContinuousFloatingLookbackOption::arguments
Arguments for continuous floating lookback option calculation
class ContinuousFixedLookbackOption::arguments
Arguments for continuous fixed lookback option calculation
class ContinuousFloatingLookbackOption::engine
Continuous floating lookback engine base class
class ContinuousFixedLookbackOption::engine
Continuous fixed lookback engine base class

Detailed Description

Lookback option on a single asset.

Author

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