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
 
- Public Member Functions inherited from GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

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

Tests:
returned values verified against results from literature