QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
AnalyticContinuousFixedLookbackEngine Class Reference

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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< 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

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >
ContinuousFixedLookbackOption::arguments arguments_
 
ContinuousFixedLookbackOption::results results_
 

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