QuantLib: AnalyticContinuousFixedLookbackEngine Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

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:
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## 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< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
Size | unregisterWith (const boost::shared_ptr< Observable > &)
void | unregisterWithAll ()
virtual void | deepUpdate ()

## 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