AnalyticContinuousFixedLookbackEngine Class Reference

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

Inheritance diagram for AnalyticContinuousFixedLookbackEngine:

List of all members.


Detailed Description

Pricing engine for European continuous fixed-strike lookback.

Formula from "Option Pricing Formulas", E.G. Haug, McGraw-Hill, 1998, p.63-64

Tests:
returned values are verified against results from literature

Public Member Functions

 AnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
void calculate () const