AnalyticContinuousFloatingLookbackEngine Class Reference

Pricing engine for European continuous floating-strike lookback. More...

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

Inheritance diagram for AnalyticContinuousFloatingLookbackEngine:

Public Member Functions
	AnalyticContinuousFloatingLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)

void	calculate () const

Additional Inherited Members
Protected Attributes inherited from GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results >
ContinuousFloatingLookbackOption::arguments	arguments_

ContinuousFloatingLookbackOption::results	results_

Detailed Description

Pricing engine for European continuous floating-strike lookback.

Formula from "Option Pricing Formulas", E.G. Haug, McGraw-Hill, 1998, p.61-62