ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp File Reference
Analytic engine for continuous floating-strike lookback. More...
#include <ql/instruments/lookbackoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Include dependency graph for analyticcontinuousfloatinglookback.hpp:

Classes | |
class | AnalyticContinuousFloatingLookbackEngine |
Pricing engine for European continuous floating-strike lookback. More... |
Detailed Description
Analytic engine for continuous floating-strike lookback.