AnalyticContinuousFloatingLookbackEngine Class Reference

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

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

Inheritance diagram for AnalyticContinuousFloatingLookbackEngine:

List of all members.

Public Member Functions

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


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