Pricing engine for European continuous fixed-strike lookback. More...
#include <ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp>
Inheritance diagram for AnalyticContinuousFixedLookbackEngine:Public Member Functions | |
| AnalyticContinuousFixedLookbackEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
| void | calculate () const |
Public Member Functions inherited from GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Additional Inherited Members | |
Protected Attributes inherited from GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > | |
| ContinuousFixedLookbackOption::arguments | arguments_ |
| ContinuousFixedLookbackOption::results | results_ |
Pricing engine for European continuous fixed-strike lookback.
Formula from "Option Pricing Formulas", E.G. Haug, McGraw-Hill, 1998, p.63-64